QuantLib: RecoveryRateQuote Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | Static Public Member Functions | Friends | List of all members
RecoveryRateQuote Class Reference

Stores a recovery rate market quote and the associated seniority. More...

`#include <ql/experimental/credit/recoveryratequote.hpp>`

Inheritance diagram for RecoveryRateQuote:
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## Public Member Functions
| RecoveryRateQuote (Real value=Null< Real >(), Seniority seniority=NoSeniority)
Quote interface
Real | value () const
| returns the current value
Seniority | seniority () const
bool | isValid () const
| returns true if the Quote holds a valid value
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (const Observable &)
void | notifyObservers ()

## Static Public Member Functions
static Real | conventionalRecovery (Seniority sen)

## Friends
std::map< Seniority, Real > | makeIsdaConvMap ()
| Helper function for conventional recoveries. Returns the ISDA.

## Modifiers
template<Size N>
static std::map< Seniority, Real > | makeIsdaMap (const Real(&(arrayIsdaRR))[N])
Real | setValue (Real value=Null< Real >())
| returns the difference between the new value and the old value
void | reset ()

## Detailed Description

Stores a recovery rate market quote and the associated seniority.

## Member Function Documentation

## ◆ conventionalRecovery()

static Real conventionalRecovery | ( | Seniority | sen | ) |
| static

Returns a map with the ISDA conventional (values by default) of the recovery rate per each ISDA seniority.

## ◆ makeIsdaMap()

std::map< Seniority, Real > makeIsdaMap | ( | const | Real(&(arrayIsdaRR))[N] | ) |
| static

Turn a set of recoveries into a seniority-recovery map (intended to be used in an event construction)