QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | Protected Attributes | List of all members
DefaultType Class Reference

Atomic credit-event type. More...

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

+ Inheritance diagram for DefaultType:

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) const

Returns 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.