QuantLib_RiskyBond man page



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

Inherits Instrument.

Inherited by RiskyFixedBond, and RiskyFloatingBond.

Public Member Functions

RiskyBond (const std::string &name, const Currency &ccy, Real recoveryRate, const Handle< DefaultProbabilityTermStructure > &defaultTS, const Handle< YieldTermStructure > &yieldTS, Natural settlementDays=0, Calendar calendar=Calendar())
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

Protected Attributes

Natural settlementDays_
Calendar calendar_

Additional Inherited Members

Detailed Description

Base class for default risky bonds

Constructor & Destructor Documentation

RiskyBond (const std::string & name, const Currency & ccy, Real recoveryRate, const Handle< DefaultProbabilityTermStructure > & defaultTS, const Handle< YieldTermStructure > & yieldTS, Natural settlementDays = 0, Calendar calendar = Calendar())

The value is contingent to survival, i.e., the knockout probability is considered. To compute the npv given that the issuer has survived, divide the npv by

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.


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Referenced By

The man pages 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).

Mon Apr 30 2018 Version 1.12.1 QuantLib