Stores a recovery rate market quote and the associated seniority. More...
#include <ql/experimental/credit/recoveryratequote.hpp>
Inheritance diagram for RecoveryRateQuote: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 | |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Static Public Member Functions | |
| static Real | conventionalRecovery (Seniority sen) |
Friends | |
| std::map< Seniority, Real > | makeIsdaConvMap () |
| Helper function for conventional recoveries. Returns the ISDA. | |
Modifiers | |
| template<Size N> | |
| static std::map< Seniority, Real > | makeIsdaMap (const Real(&(arrayIsdaRR))[N]) |
| Real | setValue (Real value=Null< Real >()) |
| returns the difference between the new value and the old value | |
| void | reset () |
Stores a recovery rate market quote and the associated seniority.
Returns a map with the ISDA conventional (values by default) of the recovery rate per each ISDA seniority.