InterpolatedSurvivalProbabilityCurve< Interpolator >

NAME

InterpolatedSurvivalProbabilityCurve< Interpolator > − DefaultProbabilityTermStructure based on interpolation of survival probabilities.

SYNOPSIS

#include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>

Inherits SurvivalProbabilityStructure, and InterpolatedCurve< Interpolator >.

Public Member Functions

InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

TermStructure interface

Date maxDate () const
the latest date for which the curve can return values

other inspectors

const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< Real > & data () const
const std::vector< Probability > & survivalProbabilities () const
std::vector< std::pair< Date, Real > > nodes () const

Protected Member Functions

InterpolatedSurvivalProbabilityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedSurvivalProbabilityCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedSurvivalProbabilityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

DefaultProbabilityTermStructure implementation

Probability survivalProbabilityImpl (Time) const
survival probability calculation
Real defaultDensityImpl (Time) const
default density calculation

Protected Attributes

std::vector< Date > dates_

Additional Inherited Members

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedSurvivalProbabilityCurve< Interpolator >" DefaultProbabilityTermStructure based on interpolation of survival probabilities.

Author

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