DefaultProbKey Class Reference

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

Inheritance diagram for DefaultProbKey:

Public Member Functions
	DefaultProbKey (const std::vector< ext::shared_ptr< DefaultType > > &eventTypes, const Currency &cur, Seniority sen)
const Currency &	currency () const
Seniority	seniority () const
const std::vector< ext::shared_ptr< DefaultType > > &	eventTypes () const
Size	size () const

Protected Attributes
std::vector< ext::shared_ptr< DefaultType > >	eventTypes_
	aggregation of event types for which the contract is sensitive.
Currency	obligationCurrency_
	Currency of the bond and protection leg payment.
Seniority	seniority_
	Reference bonds seniority.

Detailed Description

Used to index market implied credit curve probabilities. It is a proxy to the defaultable bond or class of bonds which determines the credit contract conditions. It aggregates the atomic default types in a group defining the contract conditions and which serves to index the probability curves calibrated to the market.