RiskyFloatingBond Class Reference

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

Inheritance diagram for RiskyFloatingBond:

Public Member Functions
	RiskyFloatingBond (const std::string &name, const Currency &ccy, Real recoveryRate, const Handle< DefaultProbabilityTermStructure > &defaultTS, const Schedule &schedule, const ext::shared_ptr< IborIndex > &index, Integer fixingDays, Real spread, const std::vector< Real > &notionals, const Handle< YieldTermStructure > &yieldTS, Natural settlementDays=0)
std::vector< ext::shared_ptr< CashFlow > >	cashflows () const
Real	notional (Date date=Date::minDate()) const
Date	effectiveDate () const
Date	maturityDate () const
std::vector< ext::shared_ptr< CashFlow > >	interestFlows () const
std::vector< ext::shared_ptr< CashFlow > >	notionalFlows () const
Public Member Functions inherited from 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())
std::vector< ext::shared_ptr< CashFlow > >	expectedCashflows ()
Real	riskfreeNPV () const
Real	totalFutureFlows () const
std::string	name () const
Currency	ccy () const
Handle< YieldTermStructure >	yieldTS () const
Handle< DefaultProbabilityTermStructure >	defaultTS () const
Real	recoveryRate () const
bool	isExpired () const
	returns whether the instrument might have value greater than zero.
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 ()

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 RiskyBond
void	setupExpired () const
void	performCalculations () const
Protected Member Functions inherited from Instrument
void	calculate () const
Protected Member Functions inherited from LazyObject
Protected Attributes inherited from RiskyBond
Natural	settlementDays_
Calendar	calendar_
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

Default risky floating bonds