#include <ored/portfolio/referencedata.hpp>
Public Member Functions | |
CreditIndexConstituent (const std::string &name, QuantLib::Real weight, QuantLib::Real priorWeight=QuantLib::Null< QuantLib::Real >(), QuantLib::Real recovery=QuantLib::Null< QuantLib::Real >(), const QuantLib::Date &auctionDate=QuantLib::Date(), const QuantLib::Date &auctionSettlementDate=QuantLib::Date(), const QuantLib::Date &defaultDate=QuantLib::Date(), const QuantLib::Date &eventDeterminationDate=QuantLib::Date()) | |
void | fromXML (XMLNode *node) override |
XMLNode * | toXML (ore::data::XMLDocument &doc) override |
const std::string & | name () const |
QuantLib::Real | weight () const |
QuantLib::Real | priorWeight () const |
QuantLib::Real | recovery () const |
const QuantLib::Date & | auctionDate () const |
const QuantLib::Date & | auctionSettlementDate () const |
const QuantLib::Date & | defaultDate () const |
const QuantLib::Date & | eventDeterminationDate () const |
Public Member Functions inherited from XMLSerializable | |
void | fromFile (const std::string &filename) |
void | toFile (const std::string &filename) |
void | fromXMLString (const std::string &xml) |
Parse from XML string. | |
std::string | toXMLString () |
Parse from XML string. | |
Hold reference data on a constituent of a credit index.
Gives the name and the weight of the credit index constituent. A weight of zero indicates that there has been a credit event relating to the constituent. In this case, the weight of the constituent prior to the credit event is supplied along with the recovery rate, i.e. final auction price, default date, event determination date, auction date and auction cash settlement date. Not all of these fields are required by every engine in the event of default.