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QuantLib_DefaultProbKey

NAME

QuantLib::DefaultProbKey -

SYNOPSIS

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

Inherited by NorthAmericaCorpDefaultKey.

Public Member Functions

DefaultProbKey (const std::vector< boost::shared_ptr< DefaultType > > &eventTypes, const Currency cur, Seniority sen)

const Currency & currency () const

Seniority seniority () const

const std::vector< boost::shared_ptr< DefaultType > > & eventTypes () const

Size size () const

Protected Attributes

std::vector< boost::shared_ptr< DefaultType > > eventTypes_
aggregation of event types for which the contract is sensitive.
Currency obligationCurrency_
Currency of the bond and protection leg payment.
Seniority seniority_
Reference bonds seniority.

Detailed Description

Used to index market implied credit curve probabilities. It is a proxy to the defaultable bond or class of bonds which determines the credit contract conditions. It aggregates the atomic default types in a group defining the contract conditions and which serves to index the probability curves calibrated to the market.

Author

Generated automatically by Doxygen for QuantLib from the source code.