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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_recovery_rate_model.html">RecoveryRateModel</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">RecoveryRateModel Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::RecoveryRateModel" --><!-- doxytag: inherits="QuantLib::Observable" -->
<p><code>#include <ql/experimental/credit/recoveryratemodel.hpp></code></p>
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Inheritance diagram for RecoveryRateModel:</div>
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<map name="_recovery_rate_model_inherit__map" id="_recovery_rate_model_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_constant_recovery_model.html" title="ConstantRecoveryModel" alt="" coords="5,166,168,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observers." alt="" coords="43,6,131,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_recovery_rate_model-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_recovery_rate_model.html#aaad2f8d05f1afd02a7511a65519a4a5c">recoveryValue</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &defaultDate, const <a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a> &defaultKey=<a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a>()) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">virtual bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_recovery_rate_model.html#a8be5f6243e76fbc12665e1111531fb66">appliesToSeniority</a> (Seniority) const =0</td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_recovery_rate_model.html#a6ac1a3aec02147ee4086c6cba3c86a76">recoveryValueImpl</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &, const <a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a> &defaultKey) const =0</td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Models of the recovery rate provide future values of a recovery rate in the event of a default. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="aaad2f8d05f1afd02a7511a65519a4a5c"></a><!-- doxytag: member="QuantLib::RecoveryRateModel::recoveryValue" ref="aaad2f8d05f1afd02a7511a65519a4a5c" args="(const Date &defaultDate, const DefaultProbKey &defaultKey=DefaultProbKey()) const " -->
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<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_recovery_rate_model.html#aaad2f8d05f1afd02a7511a65519a4a5c">recoveryValue</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>defaultDate</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a> & </td>
<td class="paramname"><em>defaultKey</em> = <code><a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a>()</code> </td>
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<td>)</td>
<td></td><td> const<code> [virtual]</code></td>
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<p>returns the expected recovery rate at a future time conditional on some default event type and seniority. </p>
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<a class="anchor" id="a8be5f6243e76fbc12665e1111531fb66"></a><!-- doxytag: member="QuantLib::RecoveryRateModel::appliesToSeniority" ref="a8be5f6243e76fbc12665e1111531fb66" args="(Seniority) const =0" -->
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<td class="memname">virtual bool <a class="el" href="class_quant_lib_1_1_recovery_rate_model.html#a8be5f6243e76fbc12665e1111531fb66">appliesToSeniority</a> </td>
<td>(</td>
<td class="paramtype">Seniority </td>
<td class="paramname"></td><td>)</td>
<td> const<code> [pure virtual]</code></td>
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<p>Returns true if the model will return recovery rates for the requested seniority. </p>
<p>Implemented in <a class="el" href="class_quant_lib_1_1_constant_recovery_model.html#afe953f4160ca21765a8aadb329bab537">ConstantRecoveryModel</a>.</p>
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<a class="anchor" id="a6ac1a3aec02147ee4086c6cba3c86a76"></a><!-- doxytag: member="QuantLib::RecoveryRateModel::recoveryValueImpl" ref="a6ac1a3aec02147ee4086c6cba3c86a76" args="(const Date &, const DefaultProbKey &defaultKey) const =0" -->
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<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_recovery_rate_model.html#a6ac1a3aec02147ee4086c6cba3c86a76">recoveryValueImpl</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname">, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a> & </td>
<td class="paramname"><em>defaultKey</em> </td>
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<td></td>
<td>)</td>
<td></td><td> const<code> [protected, pure virtual]</code></td>
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<div class="memdoc">
<p>Returns Null<Real> if unable to produce a recovery for the requested seniority. </p>
<p>Implemented in <a class="el" href="class_quant_lib_1_1_constant_recovery_model.html#a102b17702f706c02dfb037c4ac947341">ConstantRecoveryModel</a>.</p>
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