#include <ql/experimental/credit/defaultprobabilitykey.hpp>
Inheritance diagram for DefaultProbKey:Public Member Functions | |
| DefaultProbKey (const std::vector< ext::shared_ptr< DefaultType > > &eventTypes, const Currency &cur, Seniority sen) | |
| const Currency & | currency () const |
| Seniority | seniority () const |
| const std::vector< ext::shared_ptr< DefaultType > > & | eventTypes () const |
| Size | size () const |
Protected Attributes | |
| std::vector< ext::shared_ptr< DefaultType > > | eventTypes_ |
| aggregation of event types for which the contract is sensitive. | |
| Currency | obligationCurrency_ |
| Currency of the bond and protection leg payment. | |
| Seniority | seniority_ |
| Reference bonds seniority. | |
Used to index market implied credit curve probabilities. It is a proxy to the defaultable bond or class of bonds which determines the credit contract conditions. It aggregates the atomic default types in a group defining the contract conditions and which serves to index the probability curves calibrated to the market.