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 ¤cy, 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 Currency & | currency () 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. | |
ISDA standard default contractual key for corporate US debt.