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QuantLib_RecoveryRateQuote

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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