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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Jose Aparicio
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/experimental/credit/recoveryratequote.hpp>
namespace QuantLib {
const Real RecoveryRateQuote::IsdaConvRecoveries[] = {
0.65,// SECDOM
0.4, // SNRFOR
0.2, // SUBLT2
0.2, // JRSUBUT2
0.15 // PREFT1
};
std::map<Seniority, Real> makeIsdaConvMap() {
return RecoveryRateQuote::makeIsdaMap(
RecoveryRateQuote::IsdaConvRecoveries);
}
RecoveryRateQuote::RecoveryRateQuote(Real value,
Seniority seniority)
: seniority_(seniority), recoveryRate_(value) {
QL_REQUIRE(value == Null<Real>() ||
(value >= 0. && value <= 1.),
"Recovery value must be a fractional unit.");
}
Real RecoveryRateQuote::setValue(Real value) {
Real diff = value-recoveryRate_;
if (diff != 0.0) {
recoveryRate_ = value;
notifyObservers();
}
return diff;
}
void RecoveryRateQuote::reset() {
setValue(Null<Real>());
seniority_ = NoSeniority;
}
}
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