QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
NorthAmericaCorpDefaultKey Class Reference

ISDA standard default contractual key for corporate US debt. More...

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

+ Inheritance diagram for NorthAmericaCorpDefaultKey:

Public Member Functions

 NorthAmericaCorpDefaultKey (const Currency &currency, Seniority sen, Period graceFailureToPay=Period(30, Days), Real amountFailure=1.e6, Restructuring::Type resType=Restructuring::CR)
 
- Public Member Functions inherited from DefaultProbKey
 DefaultProbKey (const std::vector< ext::shared_ptr< DefaultType > > &eventTypes, const Currency &cur, Seniority sen)
 
const Currencycurrency () const
 
Seniority seniority () const
 
const std::vector< ext::shared_ptr< DefaultType > > & eventTypes () const
 
Size size () const
 

Additional Inherited Members

- Protected Attributes inherited from DefaultProbKey
std::vector< ext::shared_ptr< DefaultType > > eventTypes_
 aggregation of event types for which the contract is sensitive.
 
Currency obligationCurrency_
 Currency of the bond and protection leg payment.
 
Seniority seniority_
 Reference bonds seniority.
 

Detailed Description

ISDA standard default contractual key for corporate US debt.