QuantLib_RecoveryRateModel

Langue: en

Version: 373365 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::RecoveryRateModel -

SYNOPSIS


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

Inherits QuantLib::Observable.

Inherited by ConstantRecoveryModel.

Public Member Functions


virtual Real recoveryValue (const Date &defaultDate, const DefaultProbKey &defaultKey=DefaultProbKey()) const

virtual bool appliesToSeniority (Seniority) const =0

Protected Member Functions


virtual Real recoveryValueImpl (const Date &, const DefaultProbKey &defaultKey) const =0

Detailed Description

Models of the recovery rate provide future values of a recovery rate in the event of a default.

Member Function Documentation

virtual Real recoveryValue (const Date & defaultDate, const DefaultProbKey & defaultKey = DefaultProbKey()) const [virtual]returns the expected recovery rate at a future time conditional on some default event type and seniority.

virtual bool appliesToSeniority (Seniority) const [pure virtual]Returns true if the model will return recovery rates for the requested seniority.

virtual Real recoveryValueImpl (const Date &, const DefaultProbKey & defaultKey) const [protected, pure virtual]Returns Null<Real> if unable to produce a recovery for the requested seniority.

Author

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