A free/open-source library for quantitative finance
Reference manual - version 1.12
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A free/open-source library for quantitative finance
Reference manual - version 1.12
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#include <ql/experimental/credit/riskybond.hpp>
Inheritance diagram for RiskyBond:Public Member Functions | |
| RiskyBond (const std::string &name, const Currency &ccy, Real recoveryRate, const Handle< DefaultProbabilityTermStructure > &defaultTS, const Handle< YieldTermStructure > &yieldTS, Natural settlementDays=0, Calendar calendar=Calendar()) | |
| virtual std::vector< boost::shared_ptr< CashFlow > > | cashflows () const =0 |
| std::vector< boost::shared_ptr< CashFlow > > | expectedCashflows () |
| virtual Real | notional (Date date=Date::minDate()) const =0 |
| virtual Date | effectiveDate () const =0 |
| virtual Date | maturityDate () const =0 |
| virtual std::vector< boost::shared_ptr< CashFlow > > | interestFlows () const =0 |
| virtual std::vector< boost::shared_ptr< CashFlow > > | notionalFlows () const =0 |
| Real | riskfreeNPV () const |
| Real | totalFutureFlows () const |
| std::string | name () const |
| Currency | ccy () const |
| Handle< YieldTermStructure > | yieldTS () const |
| Handle< DefaultProbabilityTermStructure > | defaultTS () const |
| Real | recoveryRate () const |
Instrument interface | |
| bool | isExpired () const |
| returns whether the instrument might have value greater than zero. | |
| Public Member Functions inherited from Instrument | |
| virtual void | setupArguments (PricingEngine::arguments *) const |
| virtual void | fetchResults (const PricingEngine::results *) const |
| 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 boost::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| 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 boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Protected Member Functions | |
| void | setupExpired () const |
| void | performCalculations () const |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const |
| Protected Member Functions inherited from LazyObject | |
Protected Attributes | |
| Natural | settlementDays_ |
| Calendar | calendar_ |
| Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
| bool | alwaysForward_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Base class for default risky bonds
| RiskyBond | ( | const std::string & | name, |
| const Currency & | ccy, | ||
| Real | recoveryRate, | ||
| const Handle< DefaultProbabilityTermStructure > & | defaultTS, | ||
| const Handle< YieldTermStructure > & | yieldTS, | ||
| Natural | settlementDays = 0, |
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| Calendar | calendar = Calendar() |
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| ) |
The value is contingent to survival, i.e., the knockout probability is considered. To compute the npv given that the issuer has survived, divide the npv by
\[(1-P_{def}(T_{npv}))\]
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protectedvirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
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protectedvirtual |
In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.
Reimplemented from Instrument.
