| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2009 Jose Aparicio |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/experimental/credit/recoveryratequote.hpp> |
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| 21 | |
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| 22 | namespace QuantLib { |
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| 23 | |
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| 24 | const Real RecoveryRateQuote::IsdaConvRecoveries[] = { |
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| 25 | 0.65,// SECDOM |
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| 26 | 0.4, // SNRFOR |
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| 27 | 0.2, // SUBLT2 |
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| 28 | 0.2, // JRSUBUT2 |
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| 29 | 0.15 // PREFT1 |
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| 30 | }; |
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| 31 | |
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| 32 | std::map<Seniority, Real> makeIsdaConvMap() { |
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| 33 | return RecoveryRateQuote::makeIsdaMap( |
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| 34 | arrayIsdaRR: RecoveryRateQuote::IsdaConvRecoveries); |
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| 35 | } |
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| 36 | |
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| 37 | RecoveryRateQuote::RecoveryRateQuote(Real value, |
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| 38 | Seniority seniority) |
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| 39 | : seniority_(seniority), recoveryRate_(value) { |
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| 40 | QL_REQUIRE(value == Null<Real>() || |
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| 41 | (value >= 0. && value <= 1.), |
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| 42 | "Recovery value must be a fractional unit." ); |
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| 43 | } |
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| 44 | |
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| 45 | Real RecoveryRateQuote::setValue(Real value) { |
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| 46 | Real diff = value-recoveryRate_; |
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| 47 | if (diff != 0.0) { |
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| 48 | recoveryRate_ = value; |
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| 49 | notifyObservers(); |
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| 50 | } |
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| 51 | return diff; |
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| 52 | } |
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| 53 | |
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| 54 | void RecoveryRateQuote::reset() { |
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| 55 | setValue(Null<Real>()); |
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| 56 | seniority_ = NoSeniority; |
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| 57 | } |
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| 58 | |
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| 59 | } |
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| 60 | |
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