#include <ql/experimental/credit/riskybond.hpp>
 Inheritance diagram for RiskyBond:
 Inheritance diagram for RiskyBond:| Public Member Functions | |
| RiskyBond (const std::string &name, const Currency &ccy, Real recoveryRate, const Handle< DefaultProbabilityTermStructure > &defaultTS, const Handle< YieldTermStructure > &yieldTS, Natural settlementDays=0, Calendar calendar=Calendar()) | |
| 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. | |
|  Public Member Functions inherited from Instrument | |
| 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... | |
|  Public Member Functions inherited from LazyObject | |
| void | update () | 
| void | recalculate () | 
| void | freeze () | 
| void | unfreeze () | 
| void | alwaysForwardNotifications () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
| Protected Member Functions | |
| void | setupExpired () const | 
| void | performCalculations () const | 
|  Protected Member Functions inherited from Instrument | |
| void | calculate () const | 
|  Protected Member Functions inherited from LazyObject | |
| Protected Attributes | |
| Natural | settlementDays_ | 
| Calendar | calendar_ | 
|  Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ | 
| Real | NPV_ | 
| Real | errorEstimate_ | 
| Date | valuationDate_ | 
| std::map< std::string, boost::any > | additionalResults_ | 
|  Protected Attributes inherited from LazyObject | |
| bool | calculated_ | 
| bool | frozen_ | 
| bool | alwaysForward_ | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
Base class for default risky bonds
| RiskyBond | ( | const std::string & | name, | 
| const Currency & | ccy, | ||
| Real | recoveryRate, | ||
| const Handle< DefaultProbabilityTermStructure > & | defaultTS, | ||
| const Handle< YieldTermStructure > & | yieldTS, | ||
| Natural | settlementDays = 0, | ||
| Calendar | calendar = Calendar() | ||
| ) | 
The value is contingent to survival, i.e., the knockout probability is considered. To compute the npv given that the issuer has survived, divide the npv by
\[(1-P_{def}(T_{npv}))\]
| 
 | protectedvirtual | 
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
| 
 | 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.