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DefaultEvent

Credit event on a bond of a certain seniority(ies)/currency

Represents a credit event affecting all bonds with a given
seniority and currency. It assumes that all such bonds suffer
the event simultaneously. Some events affect all seniorities and this has to be encoded through a different set of events of the same event type. The event is an actual realization, not a contractual reference, as such it contains only an atomic type.

Hierarchy

Index

Constructors

constructor

Properties

Protected _bondsCurrency

_bondsCurrency: Currency

Protected _bondsSeniority

_bondsSeniority: Seniority

Protected _defSettlement

_defSettlement: DefaultSettlement

Protected _defaultDate

_defaultDate: Date

Protected _eventType

_eventType: DefaultType

_isDisposed

_isDisposed: boolean = false

_observers

_observers: Set<Observer>

Accessors

isDisposed

  • get isDisposed(): boolean

Methods

accept

currency

  • returns the currency of the bond this event refers to.

    Returns Currency

date

  • date(): Date
  • Returns Date

defaultType

  • Returns DefaultType

dispose

  • dispose(): void
  • Returns void

eventSeniority

  • returns the seniority of the bond that triggered the event.

    Returns Seniority

hasOccurred

  • hasOccurred(d?: Date, includeRefDate?: boolean): boolean
  • returns true if an event has already occurred before a date if is includeRefDate true, then an event has not occurred if its date is the same as the refDate, i.e. this method returns false if the event date is the same as the refDate.

    Parameters

    • Default value d: Date = null
    • Default value includeRefDate: boolean = null

    Returns boolean

hasSettled

  • hasSettled(): boolean
  • Returns boolean

init1

init2

  • Parameters

    • creditEventDate: Date
    • atomicEvType: DefaultType
    • curr: Currency
    • bondsSen: Seniority
    • Default value settleDate: Date = null
    • Default value recoveryRate: Real = 0.4

    Returns DefaultEvent

isDefault

  • isDefault(): boolean
  • Returns boolean

isRestructuring

  • isRestructuring(): boolean
  • Returns boolean

matchesDefaultKey

  • Returns true if this event would trigger a contract with the arguments characteristics.

    Parameters

    Returns boolean

matchesEventType

  • matchesEventType(contractEvType: DefaultType): boolean
  • matches the event if this event would trigger a contract related to the requested event type. Notice the contractual event types are not neccesarily atomic. Notice it does not check seniority or currency only event type. typically used from Issuer

    Parameters

    Returns boolean

notifyObservers

  • notifyObservers(): void
  • This method should be called at the end of non-const methods or when the programmer desires to notify any changes.

    Returns void

recoveryRate

  • returns a value if the event lead to a settlement for the requested seniority. Specializations on the default atomics and recoveries could change the default policy.

    Parameters

    Returns Real

registerObserver

settlement

unregisterObserver