Reference manual - version qle_version
#include <qle/pricingengines/discountingriskybondenginemultistate.hpp>
Inheritance diagram for DiscountingRiskyBondEngineMultiState:Public Member Functions | |
| DiscountingRiskyBondEngineMultiState (const Handle< YieldTermStructure > &discountCurve, const std::vector< Handle< DefaultProbabilityTermStructure >> &defaultCurves, const std::vector< Handle< Quote >> &recoveryRates, const Size mainResultState, const Handle< Quote > &securitySpread, Period timestepPeriod, const boost::optional< bool > includeSettlementDateFlows=boost::none) | |
| void | calculate () const |
| Real | calculateNpv (const Size state) const |
| Real | calculateDefaultValue () const |
| Handle< YieldTermStructure > | discountCurve () const |
| const std::vector< Handle< DefaultProbabilityTermStructure > > & | defaultCurves () const |
| const std::vector< Handle< Quote > > & | recoveryRates () const |
| Handle< Quote > | securitySpread () const |
| Public Member Functions inherited from DiscountingRiskyBondEngine | |
| DiscountingRiskyBondEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< DefaultProbabilityTermStructure > &defaultCurve, const Handle< Quote > &recoveryRate, const Handle< Quote > &securitySpread, Period timestepPeriod, boost::optional< bool > includeSettlementDateFlows=boost::none) | |
| DiscountingRiskyBondEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &securitySpread, Period timestepPeriod, boost::optional< bool > includeSettlementDateFlows=boost::none) | |
| alternative constructor (does not require default curve or recovery rate) | |
| void | calculate () const override |
| BondNPVCalculationResults | calculateNpv (const Date &npvDate, const Date &settlementDate, const Leg &cashflows, boost::optional< bool > includeSettlementDateFlows=boost::none, const Handle< YieldTermStructure > &incomeCurve=Handle< YieldTermStructure >(), const bool conditionalOnSurvival=true, const bool additionalResults=true) const |
| Handle< YieldTermStructure > | discountCurve () const |
| Handle< DefaultProbabilityTermStructure > | defaultCurve () const |
| Handle< Quote > | recoveryRate () const |
| Handle< Quote > | securitySpread () const |
Additional Inherited Members | |
| Protected Attributes inherited from DiscountingRiskyBondEngine | |
| Handle< YieldTermStructure > | discountCurve_ |
| Handle< DefaultProbabilityTermStructure > | defaultCurve_ |
| Handle< Quote > | recoveryRate_ |
| Handle< Quote > | securitySpread_ |
| Period | timestepPeriod_ |
| boost::optional< bool > | includeSettlementDateFlows_ |
The engine takes a vector of default curves and recovery rates. For the given main result state it will produce the same results as the MidPointCdsEngine. In addition a result with label "stateNPV" is produced containing the NPV for each given default curve / recovery rate and an additional entry with a default value w.r.t. the last given recovery rate in the vector.
