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Reference manual - version ored_version
Public Member Functions | List of all members
CreditIndexConstituent Class Reference

#include <ored/portfolio/referencedata.hpp>

+ Inheritance diagram for CreditIndexConstituent:

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
 
XMLNodetoXML (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.
 

Detailed Description

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.