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QuantLib_ConstantRecoveryModel

NAME

QuantLib::ConstantRecoveryModel -

SYNOPSIS

#include <ql/experimental/credit/recoveryratemodel.hpp>

Inherits QuantLib::RecoveryRateModel, and QuantLib::Observer.

Public Member Functions

ConstantRecoveryModel (const Handle< RecoveryRateQuote > &quote)

ConstantRecoveryModel (Real recovery, Seniority sen=NoSeniority)

void update ()

bool appliesToSeniority (Seniority) const

Protected Member Functions

Real recoveryValueImpl (const Date &, const DefaultProbKey &) const

Detailed Description

Simple Recovery Rate model returning the constant value of the quote independently of the date and the seniority.

Member Function Documentation

void update () [virtual]This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Real recoveryValueImpl (const Date &, const DefaultProbKey &) const [protected]Notice the quote's value is returned without a check on a match of the seniorties of the quote and the request.

Author

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