RecoveryRateQuote Class Reference

Stores a recovery rate market quote and the associated seniority. More...

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

Inheritance diagram for RecoveryRateQuote:

List of all members.

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
Modifiers
Real setValue (Real value=Null< Real >())
 returns the difference between the new value and the old value
void reset ()

Static Public Member Functions

static Real conventionalRecovery (Seniority sen)
template<Size N>
static const std::map
< Seniority, Real > 
makeIsdaMap (const Real(&(arrayIsdaRR))[N])

Friends

std::map< Seniority, Real > makeIsdaConvMap ()
 Helper function for conventional recoveries. Returns the ISDA.


Detailed Description

Stores a recovery rate market quote and the associated seniority.

Member Function Documentation

static Real conventionalRecovery ( Seniority  sen  )  [static]

Returns a map with the ISDA conventional (values by default) of the recovery rate per each ISDA seniority.

const std::map< Seniority, Real > makeIsdaMap ( const   Real(&(arrayIsdaRR))[N]  )  [static]

Turn a set of recoveries into a seniority-recovery map (intended to be used in an event construction)