- QuantLib
- RecoveryRateModel
 
#include <ql/experimental/credit/recoveryratemodel.hpp>

| Public Member Functions | |
| virtual Real | recoveryValue (const Date &defaultDate, const DefaultProbKey &defaultKey=DefaultProbKey()) const | 
| virtual bool | appliesToSeniority (Seniority) const =0 | 
| Protected Member Functions | |
| virtual Real | recoveryValueImpl (const Date &, const DefaultProbKey &defaultKey) const =0 | 
Models of the recovery rate provide future values of a recovery rate in the event of a default.
| virtual Real recoveryValue | ( | const Date & | defaultDate, | 
| const DefaultProbKey & | defaultKey = DefaultProbKey() | ||
| ) | const  [virtual] | 
returns the expected recovery rate at a future time conditional on some default event type and seniority.
| virtual bool appliesToSeniority | ( | Seniority | ) | const  [pure virtual] | 
Returns true if the model will return recovery rates for the requested seniority.
Implemented in ConstantRecoveryModel.
| virtual Real recoveryValueImpl | ( | const Date & | , | 
| const DefaultProbKey & | defaultKey | ||
| ) | const  [protected, pure virtual] | 
Returns Null<Real> if unable to produce a recovery for the requested seniority.
Implemented in ConstantRecoveryModel.