QuantLib_RiskyBond man page

RiskyBond —

Synopsis

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

Inherits Instrument.

Inherited by RiskyFixedBond, and RiskyFloatingBond.

Public Member Functions

RiskyBond (std::string name, Currency ccy, Real recoveryRate, Handle< DefaultProbabilityTermStructure > defaultTS, Handle< YieldTermStructure > yieldTS)

virtual std::vector< boost::shared_ptr< CashFlow > > cashflows () const =0

std::vector< boost::shared_ptr< CashFlow > > expectedCashflows ()

virtual Real notional (Date date=Date::minDate()) const =0

virtual Date effectiveDate () const =0

virtual Date maturityDate () const =0

virtual std::vector< boost::shared_ptr< CashFlow > > interestFlows () const =0

virtual std::vector< boost::shared_ptr< CashFlow > > notionalFlows () const =0

Real riskfreeNPV () const

Real totalFutureFlows () const

std::string name () const

Currency ccy () const

Handle< YieldTermStructure > yieldTS () const

Handle< DefaultProbabilityTermStructure > defaultTS () const

Real recoveryRate () const

Instrument interface

bool isExpired () const
returns whether the instrument might have value greater than zero.

Protected Member Functions

void setupExpired () const

void performCalculations () const

Additional Inherited Members

Detailed Description

Base class for default risky bonds

Member Function Documentation

void setupExpired () const [protected], [virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

void performCalculations () const [protected], [virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from Instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ccy(3), defaultTS(3), effectiveDate(3), expectedCashflows(3), interestFlows(3), notionalFlows(3), riskfreeNPV(3), RiskyBond(3), totalFutureFlows(3) and yieldTS(3) are aliases of QuantLib_RiskyBond(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib