#include <ql/experimental/credit/riskybond.hpp>
Public Member Functions | |
RiskyBond (std::string name, Currency ccy, Real recoveryRate, Handle< DefaultProbabilityTermStructure > defaultTS, Handle< YieldTermStructure > yieldTS) | |
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. | |
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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... | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Protected Member Functions | |
void | setupExpired () const |
void | performCalculations () const |
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void | calculate () const |
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Additional Inherited Members | |
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boost::shared_ptr< PricingEngine > | engine_ |
Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, boost::any > | additionalResults_ |
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bool | calculated_ |
bool | frozen_ |
Base class for default risky bonds
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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.