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QuantLib_RecoveryRateQuote
Langue: en
Version: 374673 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- Member Function Documentation
- static Real conventionalRecovery (Seniority sen) [static]Returns a map with the ISDA conventional (values by default) of the recovery rate per each ISDA seniority.
- const std::map< Seniority, Real > makeIsdaMap (const Real(&(arrayIsdaRR))[N]) [static]Turn a set of recoveries into a seniority-recovery map (intended to be used in an event construction)
- Author
NAME
QuantLib::RecoveryRateQuote -Stores a recovery rate market quote and the associated seniority.
SYNOPSIS
#include <ql/experimental/credit/recoveryratequote.hpp>
Inherits QuantLib::Quote.
Public Member Functions
RecoveryRateQuote (Real value=Null< Real >(), Seniority seniority=NoSeniority)
Quote interface
Real value () const
returns the current value
Seniority seniority () const
bool isValid () const
returns true if the Quote holds a valid value
Modifiers
Real setValue (Real value=Null< Real >())
returns the difference between the new value and the old value
void reset ()
Static Public Member Functions
static Real conventionalRecovery (Seniority sen)
template<Size N> static const std::map< Seniority, Real > makeIsdaMap (const Real(&(arrayIsdaRR))[N])
Friends
std::map< Seniority, Real > makeIsdaConvMap ()
Helper function for conventional recoveries. Returns the ISDA.
Detailed Description
Stores a recovery rate market quote and the associated seniority.
Member Function Documentation
static Real conventionalRecovery (Seniority sen) [static]Returns a map with the ISDA conventional (values by default) of the recovery rate per each ISDA seniority.
const std::map< Seniority, Real > makeIsdaMap (const Real(&(arrayIsdaRR))[N]) [static]Turn a set of recoveries into a seniority-recovery map (intended to be used in an event construction)
Author
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