DefaultProbKey Class Reference

#include <ql/experimental/credit/defaultprobabilitykey.hpp>

Inheritance diagram for DefaultProbKey:

List of all members.

Public Member Functions

 DefaultProbKey (const std::vector< boost::shared_ptr< DefaultType > > &eventTypes, const Currency cur, Seniority sen)
const Currencycurrency () const
Seniority seniority () const
const std::vector
< boost::shared_ptr
< DefaultType > > & 
eventTypes () const
Size size () const

Protected Attributes

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.

Detailed Description

Used to index market implied credit curve probabilities. It is a proxy to the defaultable bond or class of bonds which determines the credit contract conditions. It aggregates the atomic default types in a group defining the contract conditions and which serves to index the probability curves calibrated to the market.