RecoveryRateQuote Class Reference

Stores a recovery rate market quote and the associated seniority. More...

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

Inheritance diagram for RecoveryRateQuote:

Public Member Functions
	RecoveryRateQuote (Real value=Null< Real >(), Seniority seniority=NoSeniority)
Quote interface
Real	value () const override
	returns the current value
Seniority	seniority () const
bool	isValid () const override
	returns true if the Quote holds a valid value
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Static Public Member Functions
static Real	conventionalRecovery (Seniority sen)

Friends
std::map< Seniority, Real >	makeIsdaConvMap ()
	Helper function for conventional recoveries. Returns the ISDA.

Modifiers
template<Size N>
static std::map< Seniority, Real >	makeIsdaMap (const Real(&(arrayIsdaRR))[N])
Real	setValue (Real value=Null< Real >())
	returns the difference between the new value and the old value
void	reset ()

Detailed Description

Stores a recovery rate market quote and the associated seniority.

Member Function Documentation

conventionalRecovery()

Real conventionalRecovery ( Seniority sen )

static

Returns a map with the ISDA conventional (values by default) of the recovery rate per each ISDA seniority.

value()

Real value ( ) const

overridevirtual

returns the current value

Implements Quote.

isValid()

bool isValid ( ) const

overridevirtual

returns true if the Quote holds a valid value

Implements Quote.

makeIsdaMap()

template<Size N>

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)