RecoveryRateModel Class Reference

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

Inheritance diagram for RecoveryRateModel:

List of all members.

Public Member Functions

virtual Real recoveryValue (const Date &defaultDate, const DefaultProbKey &defaultKey=DefaultProbKey()) const
virtual bool appliesToSeniority (Seniority) const =0

Protected Member Functions

virtual Real recoveryValueImpl (const Date &, const DefaultProbKey &defaultKey) const =0

Detailed Description

Models of the recovery rate provide future values of a recovery rate in the event of a default.


Member Function Documentation

virtual Real recoveryValue ( const Date defaultDate,
const DefaultProbKey defaultKey = DefaultProbKey() 
) const [virtual]

returns the expected recovery rate at a future time conditional on some default event type and seniority.

virtual bool appliesToSeniority ( Seniority  ) const [pure virtual]

Returns true if the model will return recovery rates for the requested seniority.

Implemented in ConstantRecoveryModel.

virtual Real recoveryValueImpl ( const Date ,
const DefaultProbKey defaultKey 
) const [protected, pure virtual]

Returns Null<Real> if unable to produce a recovery for the requested seniority.

Implemented in ConstantRecoveryModel.