ISDA standard default contractual key for corporate US debt. More...
#include <ql/experimental/credit/defaultprobabilitykey.hpp>
Public Member Functions | |
NorthAmericaCorpDefaultKey (const Currency ¤cy, Seniority sen, Period graceFailureToPay=Period(30, Days), Real amountFailure=1.e6, Restructuring::Type resType=Restructuring::CR) | |
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DefaultProbKey (const std::vector< boost::shared_ptr< DefaultType > > &eventTypes, const Currency cur, Seniority sen) | |
const Currency & | currency () const |
Seniority | seniority () const |
const std::vector< boost::shared_ptr< DefaultType > > & | eventTypes () const |
Size | size () const |
Additional Inherited Members | |
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std::vector< boost::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. | |
ISDA standard default contractual key for corporate US debt.