DefaultProbabilityTermStructure − Default probability term structure.

`#include <ql/termstructures/defaulttermstructure.hpp>`

Inherits **TermStructure**.

Inherited by **DefaultDensityStructure**, **HazardRateStructure**, and **SurvivalProbabilityStructure**.

**Public Member Functions
Constructors**

See the

**DefaultProbabilityTermStructure** (const **DayCounter** &dc=**DayCounter**(), const std::vector< **Handle**< **Quote** > > &jumps=std::vector< **Handle**< **Quote** > >(), const std::vector< **Date** > &jumpDates=std::vector< **Date** >()) **
DefaultProbabilityTermStructure** (const

DefaultProbabilityTermStructure

**Survival probabilities**

These methods return the survival probability from the reference date until a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.

**Probability survivalProbability** (const **Date** &d, bool extrapolate=false) const **
Probability survivalProbability** (

**Default probabilities**

These methods return the default probability from the reference date until a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.

**Probability defaultProbability** (const **Date** &d, bool extrapolate=false) const **
Probability defaultProbability** (

Probability defaultProbability

probability of default between two given dates

Probability defaultProbability

probability of default between two given times

**Default densities**

These methods return the default density at a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.

**Real defaultDensity** (const **Date** &d, bool extrapolate=false) const **
Real defaultDensity** (

**Hazard rates**

These methods returns the hazard rate at a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.

Hazard rates are defined with annual frequency and continuous compounding.

**Rate hazardRate** (const **Date** &d, bool extrapolate=false) const **
Rate hazardRate** (

**Jump inspectors**

const std::vector< **Date** > & **jumpDates** () const

const std::vector< **Time** > & **jumpTimes** () const

**Observer interface**

void **update** ()

**Protected Member Functions
Calculations**

These methods must be implemented in derived classes to perform the actual calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.

virtual **Probability survivalProbabilityImpl** (**Time**) const =0

survival probability calculation

virtual **Real defaultDensityImpl** (**Time**) const =0

default density calculation

**Additional Inherited Members**

Default probability term structure.

This abstract class defines the interface of concrete credit structures which will be derived from this one.

**Probability survivalProbability (Time t, bool extrapolate =** `false`**) const**

The same day-counting rule used by the term structure should be used for calculating the passed time t.

**Probability defaultProbability (Time t, bool extrapolate =** `false`**) const**

The same day-counting rule used by the term structure should be used for calculating the passed time t.

**void update ()** `[virtual]`

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from **TermStructure**.

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