QuantLib_ConstantRecoveryModel man page

ConstantRecoveryModel —

Synopsis

#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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 23 2016 Version 1.8.1 QuantLib