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

Public Member Functions | |
| RiskyBond (std::string name, Currency ccy, Real recoveryRate, Handle< DefaultProbabilityTermStructure > defaultTS, Handle< YieldTermStructure > yieldTS) | |
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virtual std::vector < boost::shared_ptr< CashFlow > > | cashflows () const =0 |
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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 |
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virtual std::vector < boost::shared_ptr< CashFlow > > | interestFlows () const =0 |
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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 |
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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 |
Detailed Description
Base class for default risky bondsMember 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.