QuantLib_RecoveryRateQuote man page

RecoveryRateQuote — Stores a recovery rate market quote and the associated seniority.

Synopsis

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

Inherits Quote.

Public Member Functions

RecoveryRateQuote (Real value=Null< Real >(), Seniority seniority=NoSeniority)

Quote interface

Real value () const
returns the current value
Seniority seniority () const

bool isValid () const
returns true if the Quote holds a valid value

Modifiers

Real setValue (Real value=Null< Real >())
returns the difference between the new value and the old value
void reset ()

Static Public Member Functions

static Real conventionalRecovery (Seniority sen)

template<Size N> static const std::map< Seniority, Real > makeIsdaMap (const Real(&(arrayIsdaRR))[N])

Friends

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

Detailed Description

Stores a recovery rate market quote and the associated seniority.

Member Function Documentation

static Real conventionalRecovery (Seniority sen) [static]

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

const 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)

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

conventionalRecovery(3), makeIsdaMap(3) and RecoveryRateQuote(3) are aliases of QuantLib_RecoveryRateQuote(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib