DefaultEvent Class Reference

Credit event on a bond of a certain seniority(ies)/currency. More...

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

Inheritance diagram for DefaultEvent:

Public Member Functions
	DefaultEvent (const Date &creditEventDate, const DefaultType &atomicEvType, const Currency &curr, Seniority bondsSen, const Date &settleDate=Null< Date >(), const std::map< Seniority, Real > &recoveryRates=rate_map())
	DefaultEvent (const Date &creditEventDate, const DefaultType &atomicEvType, const Currency &curr, Seniority bondsSen, const Date &settleDate=Null< Date >(), Real recoveryRate=0.4)
Date	date () const
	returns the date at which the event occurs
bool	isRestructuring () const
bool	isDefault () const
bool	hasSettled () const
const DefaultSettlement &	settlement () const
const DefaultType &	defaultType () const
const Currency &	currency () const
	returns the currency of the bond this event refers to.
Seniority	eventSeniority () const
	returns the seniority of the bond that triggered the event.
virtual Real	recoveryRate (Seniority seniority) const
virtual bool	matchesEventType (const ext::shared_ptr< DefaultType > &contractEvType) const
virtual bool	matchesDefaultKey (const DefaultProbKey &contractKey) const
void	accept (AcyclicVisitor &)
Public Member Functions inherited from Event
virtual bool	hasOccurred (const Date &refDate=Date(), boost::optional< bool > includeRefDate=boost::none) const
	returns true if an event has already occurred before a date More...
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()

Protected Attributes
Currency	bondsCurrency_
Date	defaultDate_
DefaultType	eventType_
Seniority	bondsSeniority_
DefaultSettlement	defSettlement_

Detailed Description

Credit event on a bond of a certain seniority(ies)/currency.

Represents a credit event affecting all bonds with a given \ seniority and currency. It assumes that all such bonds suffer \ the event simultaneously. Some events affect all seniorities and this has to be encoded through a different set of events of the same event type. The event is an actual realization, not a contractual reference, as such it contains only an atomic type.

Constructor & Destructor Documentation

DefaultEvent() [1/2]

DefaultEvent	(	const Date &	creditEventDate,
		const DefaultType &	atomicEvType,
		const Currency &	curr,
		Seniority	bondsSen,
		const Date &	settleDate = Null< Date >(),
		const std::map< Seniority, Real > &	recoveryRates = rate_map()
	)

Credit event with optional settlement information. Represents a credit event that has taken place. Realized events are of an atomic type. If the settlement information is given seniorities present are the seniorities/bonds affected by the event.

DefaultEvent() [2/2]

DefaultEvent	(	const Date &	creditEventDate,
		const DefaultType &	atomicEvType,
		const Currency &	curr,
		Seniority	bondsSen,
		const Date &	settleDate = Null< Date >(),
		Real	recoveryRate = 0.4
	)

Use NoSeniority to settle to all seniorities with that recovery. In that case the event is assumed to have affected all seniorities.

Member Function Documentation

recoveryRate()

virtual Real recoveryRate ( Seniority  seniority ) const

virtual

returns a value if the event lead to a settlement for the requested seniority. Specializations on the default atomics and recoveries could change the default policy.

matchesEventType()

virtual bool matchesEventType ( const ext::shared_ptr< DefaultType > &  contractEvType ) const

virtual

matches the event if this event would trigger a contract related to the requested event type. Notice the contractual event types are not neccesarily atomic. Notice it does not check seniority or currency only event type. typically used from Issuer

matchesDefaultKey()

virtual bool matchesDefaultKey ( const DefaultProbKey &  contractKey ) const

virtual

Returns true if this event would trigger a contract with the arguments characteristics.