ProportionalNotionalRisk Class Reference

#include <riskynotional.hpp>

Inheritance diagram for ProportionalNotionalRisk:

Collaboration diagram for ProportionalNotionalRisk:

Public Member Functions
	ProportionalNotionalRisk (const ext::shared_ptr< EventPaymentOffset > &paymentOffset, Real attachement, Real exhaustion)
void	updatePath (const std::vector< std::pair< Date, Real > > &events, NotionalPath &path) const override
Public Member Functions inherited from NotionalRisk
	NotionalRisk (ext::shared_ptr< EventPaymentOffset > paymentOffset)
virtual	~NotionalRisk ()=default
virtual void	updatePath (const std::vector< std::pair< Date, Real > > &events, NotionalPath &path) const =0

Protected Attributes
Real	attachement_
Real	exhaustion_
Protected Attributes inherited from NotionalRisk
ext::shared_ptr< EventPaymentOffset >	paymentOffset_

Detailed Description

Definition at line 90 of file riskynotional.hpp.

Constructor & Destructor Documentation

ProportionalNotionalRisk()

ProportionalNotionalRisk	(	const ext::shared_ptr< EventPaymentOffset > &	paymentOffset,
		Real	attachement,
		Real	exhaustion
	)

Definition at line 93 of file riskynotional.hpp.

Member Function Documentation

updatePath()

void updatePath ( const std::vector< std::pair< Date, Real > > &  events, NotionalPath &  path  ) const

overridevirtual

Implements NotionalRisk.

Definition at line 101 of file riskynotional.hpp.

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Member Data Documentation

attachement_

Real attachement_

protected

Definition at line 117 of file riskynotional.hpp.

exhaustion_

Real exhaustion_

protected

Definition at line 118 of file riskynotional.hpp.