QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | List of all members
ConstantRecoveryModel Class Reference

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

+ Inheritance diagram for ConstantRecoveryModel:

Public Member Functions

 ConstantRecoveryModel (const Handle< RecoveryRateQuote > &quote)
 
 ConstantRecoveryModel (Real recovery, Seniority sen=NoSeniority)
 
void update ()
 
bool appliesToSeniority (Seniority) const
 
- Public Member Functions inherited from RecoveryRateModel
virtual Real recoveryValue (const Date &defaultDate, const DefaultProbKey &defaultKey=DefaultProbKey()) const
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Protected Member Functions

Real recoveryValueImpl (const Date &, const DefaultProbKey &) const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

Simple Recovery Rate model returning the constant value of the quote independently of the date and the seniority.

Examples
LatentModel.cpp.

Member Function Documentation

◆ update()

void update ( )
virtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

◆ appliesToSeniority()

bool appliesToSeniority ( Seniority  ) const
virtual

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

Implements RecoveryRateModel.

◆ recoveryValueImpl()

Real recoveryValueImpl ( const Date ,
const DefaultProbKey  
) const
protectedvirtual

Notice the quote's value is returned without a check on a match of the seniorties of the quote and the request.

Implements RecoveryRateModel.