RecoveryRateQuote Class Reference
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 | |
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)