RecoveryRateModel Class Reference

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

Inheritance diagram for RecoveryRateModel:

Public Member Functions
virtual Real	recoveryValue (const Date &defaultDate, const DefaultProbKey &defaultKey=DefaultProbKey()) const
virtual bool	appliesToSeniority (Seniority) const =0
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

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

recoveryValue()

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.

appliesToSeniority()

virtual bool appliesToSeniority ( Seniority ) const

pure virtual

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

Implemented in ConstantRecoveryModel.

recoveryValueImpl()

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

protectedpure virtual

Returns Null<Real> if unable to produce a recovery for the requested seniority.

Implemented in ConstantRecoveryModel.