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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_recovery_rate_model.html">RecoveryRateModel</a></li> </ul>
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<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> |
<a href="class_quant_lib_1_1_recovery_rate_model-members.html">List of all members</a> </div>
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<div class="title">RecoveryRateModel Class Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
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<p><code>#include <ql/experimental/credit/recoveryratemodel.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for RecoveryRateModel:</div>
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<map name="_recovery_rate_model_inherit__map" id="a_recovery_rate_model_inherit__map">
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<area shape="rect" href="class_quant_lib_1_1_constant_recovery_model.html" title=" " alt="" coords="5,155,172,181"/>
<area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observers." alt="" coords="45,5,133,32"/>
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<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a8a5a616f58c04555ef223ca756bf83a1"><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#a8a5a616f58c04555ef223ca756bf83a1">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 class="separator:a8a5a616f58c04555ef223ca756bf83a1"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8be5f6243e76fbc12665e1111531fb66"><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> (<a class="el" href="namespace_quant_lib.html#a67b45b4a8252bded773b222c6f9428dc">Seniority</a>) const =0</td></tr>
<tr class="separator:a8be5f6243e76fbc12665e1111531fb66"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
<tr class="separator:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
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Protected Member Functions</h2></td></tr>
<tr class="memitem:a6ac1a3aec02147ee4086c6cba3c86a76"><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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<a name="details" id="details"></a><h2 class="groupheader">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><h2 class="groupheader">Member Function Documentation</h2>
<a id="a8a5a616f58c04555ef223ca756bf83a1"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a8a5a616f58c04555ef223ca756bf83a1">◆ </a></span>recoveryValue()</h2>
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<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> recoveryValue </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</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 id="a8be5f6243e76fbc12665e1111531fb66"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a8be5f6243e76fbc12665e1111531fb66">◆ </a></span>appliesToSeniority()</h2>
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<td class="memname">virtual bool appliesToSeniority </td>
<td>(</td>
<td class="paramtype"><a class="el" href="namespace_quant_lib.html#a67b45b4a8252bded773b222c6f9428dc">Seniority</a> </td>
<td class="paramname"></td><td>)</td>
<td> const</td>
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<span class="mlabels"><span class="mlabel">pure virtual</span></span> </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#adc5b75576b4cb3c5e1f03e1dd090b790">ConstantRecoveryModel</a>.</p>
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<a id="a6ac1a3aec02147ee4086c6cba3c86a76"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a6ac1a3aec02147ee4086c6cba3c86a76">◆ </a></span>recoveryValueImpl()</h2>
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<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> recoveryValueImpl </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</td>
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<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#ab61019c2be50ca38adc6b22dc4b2f249">ConstantRecoveryModel</a>.</p>
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