Logo Search packages:      
Sourcecode: quantlib version File versions  Download package


Go to the documentation of this file.
/* -*- 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

 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 default.hpp
    \brief Classes for default-event handling.

#ifndef quantlib_default_hpp
#define quantlib_default_hpp

#include <ql/event.hpp>

namespace QuantLib {

    //! Seniority of a default event
00032     enum Seniority { Senior,
                     AnySeniority };

    //! Restructuring of a default event
00041     enum Restructuring { NoRestructuring,
                         AnyRestructuring };

    //! Credit-default event
00048     class DefaultEvent : public Event {
        DefaultEvent(const Date& date,
                     Real recoveryRate,
                     Seniority seniority = AnySeniority,
                     Restructuring restructuring = AnyRestructuring);
        Date date() const;
        Real recoveryRate() const;
        Seniority seniority() const;
        Restructuring restructuring() const;
        Date defaultDate_;
        Rate recoveryRate_;
        Seniority seniority_;
        Restructuring restructuring_;
        void accept(AcyclicVisitor&);

    //! information on a default-protection contract
00067     struct Protection {
        enum Side { Buyer, Seller };



Generated by  Doxygen 1.6.0   Back to index