recoveryRate (3) - Linux Manuals

recoveryRate: Credit-default event.

NAME

QuantLib::DefaultEvent - Credit-default event.

SYNOPSIS

#include <ql/default.hpp>

Inherits QuantLib::Event.

Public Member Functions

DefaultEvent (const Date &date, Real recoveryRate, Seniority seniority=AnySeniority, Restructuring restructuring=AnyRestructuring)

Date date () const
returns the date at which the event occurs
Real recoveryRate () const

Seniority seniority () const

Restructuring restructuring () const

Detailed Description

Credit-default event.

Author

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