RecoveryRateModel Class Reference
#include <ql/experimental/credit/recoveryratemodel.hpp>
Inheritance diagram for RecoveryRateModel:

Public Member Functions | |
| virtual Real | recoveryValue (const Date &defaultDate, const DefaultProbKey &defaultKey=DefaultProbKey()) const |
| virtual bool | appliesToSeniority (Seniority) const =0 |
Protected Member Functions | |
| virtual Real | recoveryValueImpl (const Date &, const DefaultProbKey &defaultKey) const =0 |
Detailed Description
Models of the recovery rate provide future values of a recovery rate in the event of a default.Member Function Documentation
| virtual Real recoveryValue | ( | const Date & | defaultDate, | |
| const DefaultProbKey & | defaultKey = DefaultProbKey() | |||
| ) | const [virtual] |
returns the expected recovery rate at a future time conditional on some default event type and seniority.
| virtual bool appliesToSeniority | ( | Seniority | ) | const [pure virtual] |
Returns true if the model will return recovery rates for the requested seniority.
Implemented in ConstantRecoveryModel.
| virtual Real recoveryValueImpl | ( | const Date & | , | |
| const DefaultProbKey & | defaultKey | |||
| ) | const [protected, pure virtual] |
Returns Null<Real> if unable to produce a recovery for the requested seniority.
Implemented in ConstantRecoveryModel.