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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 StatPro Italia srl
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.
*/
/*! \file claim.hpp
\brief Classes for default-event claims.
*/
#ifndef quantlib_claim_hpp
#define quantlib_claim_hpp
#include <ql/instruments/bond.hpp>
namespace QuantLib {
//! Claim associated to a default event
class Claim : public Observable, public Observer {
public:
virtual ~Claim() {}
virtual Real amount(const Date& defaultDate,
Real notional,
Real recoveryRate) const = 0;
void update() { notifyObservers(); }
};
//! Claim on a notional
class FaceValueClaim : public Claim {
public:
Real amount(const Date& d,
Real notional,
Real recoveryRate) const;
};
//! Claim on the notional of a reference security, including accrual
class FaceValueAccrualClaim : public Claim {
public:
FaceValueAccrualClaim(
const boost::shared_ptr<Bond>& referenceSecurity);
Real amount(const Date& d,
Real notional,
Real recoveryRate) const;
private:
boost::shared_ptr<Bond> referenceSecurity_;
};
}
#endif
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