ConstantRecoveryModel Class Reference

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

Inheritance diagram for ConstantRecoveryModel:

Public Member Functions
	ConstantRecoveryModel (const Handle< RecoveryRateQuote > &quote)
	ConstantRecoveryModel (Real recovery, Seniority sen=NoSeniority)
void	update () override
bool	appliesToSeniority (Seniority) const override
Public Member Functions inherited from RecoveryRateModel
virtual Real	recoveryValue (const Date &defaultDate, const DefaultProbKey &defaultKey=DefaultProbKey()) const
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Protected Member Functions
Real	recoveryValueImpl (const Date &, const DefaultProbKey &) const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

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

Examples

LatentModel.cpp.

Member Function Documentation

update()

void update ( )

overridevirtual

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.

appliesToSeniority()

bool appliesToSeniority ( Seniority ) const

overridevirtual

Returns true if the model will return recovery rates for the requested seniority.

Implements RecoveryRateModel.

recoveryValueImpl()

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

overrideprotectedvirtual

Notice the quote's value is returned without a check on a match of the seniorties of the quote and the request.

Implements RecoveryRateModel.