QuantLib_ConstantRecoveryModel man page



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

Inherits RecoveryRateModel, and Observer.

Public Member Functions

ConstantRecoveryModel (const Handle< RecoveryRateQuote > &quote)
ConstantRecoveryModel (Real recovery, Seniority sen=NoSeniority)
void update ()
bool appliesToSeniority (Seniority) const

Protected Member Functions

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

Additional Inherited Members

Detailed Description

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

Member Function Documentation

void update () [virtual]

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.

bool appliesToSeniority (Seniority) const [virtual]

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

Implements RecoveryRateModel.

Real recoveryValueImpl (const Date &, const DefaultProbKey &) const [protected], [virtual]

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

Implements RecoveryRateModel.


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Referenced By

The man pages appliesToSeniority(3), ConstantRecoveryModel(3) and recoveryValueImpl(3) are aliases of QuantLib_ConstantRecoveryModel(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib