QuantLib_DefaultProbKey man page

DefaultProbKey

Synopsis

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

Inherited by NorthAmericaCorpDefaultKey.

Public Member Functions

DefaultProbKey (const std::vector< boost::shared_ptr< DefaultType > > &eventTypes, const Currency cur, Seniority sen)
const Currency & currency () const
Seniority seniority () const
const std::vector< boost::shared_ptr< DefaultType > > & eventTypes () const
Size size () const

Protected Attributes

std::vector< boost::shared_ptr< DefaultType > > eventTypes_
aggregation of event types for which the contract is sensitive.
Currency obligationCurrency_
Currency of the bond and protection leg payment.
Seniority seniority_
Reference bonds seniority.

Detailed Description

Used to index market implied credit curve probabilities. It is a proxy to the defaultable bond or class of bonds which determines the credit contract conditions. It aggregates the atomic default types in a group defining the contract conditions and which serves to index the probability curves calibrated to the market.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages DefaultProbKey(3), eventTypes(3), eventTypes_(3), obligationCurrency_(3), seniority(3) and seniority_(3) are aliases of QuantLib_DefaultProbKey(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib