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

Inheritance diagram for RiskyBond:

Public Member Functions
	RiskyBond (const std::string &name, const Currency &ccy, Real recoveryRate, const Handle< DefaultProbabilityTermStructure > &defaultTS, const Handle< YieldTermStructure > &yieldTS, Natural settlementDays=0, const Calendar &calendar=Calendar())

virtual std::vector< ext::shared_ptr< CashFlow > >	cashflows () const =0

std::vector< ext::shared_ptr< CashFlow > >	expectedCashflows ()

virtual Real	notional (Date date=Date::minDate()) const =0

virtual Date	effectiveDate () const =0

virtual Date	maturityDate () const =0

virtual std::vector< ext::shared_ptr< CashFlow > >	interestFlows () const =0

virtual std::vector< ext::shared_ptr< CashFlow > >	notionalFlows () const =0

Real	riskfreeNPV () const

Real	totalFutureFlows () const

std::string	name () const

Currency	ccy () const

Handle< YieldTermStructure >	yieldTS () const

Handle< DefaultProbabilityTermStructure >	defaultTS () const

Real	recoveryRate () const

Public Member Functions inherited from Instrument
Real	NPV () const
	returns the net present value of the instrument.

Real	errorEstimate () const
	returns the error estimate on the NPV when available.

const Date &	valuationDate () const
	returns the date the net present value refers to.

template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.

const std::map< std::string, boost::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...

virtual void	setupArguments (PricingEngine::arguments *) const

virtual void	fetchResults (const PricingEngine::results *) const

Public Member Functions inherited from LazyObject
void	update ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

void	alwaysForwardNotifications ()

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (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 ()

Instrument interface
Natural	settlementDays_

Calendar	calendar_

bool	isExpired () const
	returns whether the instrument might have value greater than zero.

void	setupExpired () const

void	performCalculations () const

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type

typedef set_type::iterator	iterator

Protected Member Functions inherited from Instrument
void	calculate () const

Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Instrument
Real	NPV_

Real	errorEstimate_

Date	valuationDate_

std::map< std::string, boost::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_

bool	frozen_

bool	alwaysForward_

Detailed Description

Base class for default risky bonds

Constructor & Destructor Documentation

◆ RiskyBond()

RiskyBond	(	const std::string &	name,
		const Currency &	ccy,
		Real	recoveryRate,
		const Handle< DefaultProbabilityTermStructure > &	defaultTS,
		const Handle< YieldTermStructure > &	yieldTS,
		Natural	settlementDays = `0`,
		const Calendar &	calendar = `Calendar()`
	)

The value is contingent to survival, i.e., the knockout probability is considered. To compute the npv given that the issuer has survived, divide the npv by

\[(1-P_{def}(T_{npv}))\]

Member Function Documentation

◆ setupExpired()

void setupExpired ( ) const

protectedvirtual

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

◆ performCalculations()

void performCalculations ( ) const

protectedvirtual

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.