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QuantLib_DefaultType

NAME

QuantLib::DefaultType -

Atomic credit-event type.

SYNOPSIS

#include <ql/experimental/credit/defaulttype.hpp>

Inherited by FailureToPay.

Public Member Functions

DefaultType (AtomicDefault::Type defType=AtomicDefault::Bankruptcy, Restructuring::Type restType=Restructuring::XR)

AtomicDefault::Type defaultType () const

Restructuring::Type restructuringType () const

bool isRestructuring () const

bool containsDefaultType (AtomicDefault::Type defType) const

bool containsRestructuringType (Restructuring::Type resType) const

Protected Attributes

AtomicDefault::Type defTypes_

Restructuring::Type restrType_

Detailed Description

Atomic credit-event type.

This class encapsulates the ISDA default contractual types and their combinations. Non-atomicity works only at the atomic type level, obviating the specific event characteristics which it is accounted for only in derived classes.

Member Function Documentation

bool containsDefaultType (AtomicDefault::Type defType) constReturns true if one or a set of event types is within this one and as such will be recognised as a trigger. Not the same as equality.

Notice that these methods do not include any event logical hierarchy. The match is in a strict sense. If event B is contained in (implied by) event A this would not send a match. This policies should be implemented at the CreditEvent class, which is polymorphic.

Author

Generated automatically by Doxygen for QuantLib from the source code.