Last Change: 2018-09-07, 16:50
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DefaultProbabilityTermStructure − Default probability term structure.
#include <ql/termstructures/defaulttermstructure.hpp>
Inherits TermStructure.
Inherited by DefaultDensityStructure, HazardRateStructure, and SurvivalProbabilityStructure.
Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
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 Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
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 (Time t, bool extrapolate=false) const
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 (Time t, bool extrapolate=false) const
Probability defaultProbability (const Date &, const Date &, bool extrapolate=false) const
probability of default between two given dates
Probability defaultProbability (Time, Time, bool extrapo=false) const
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 (Time t, bool extrapolate=false) const
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 (Time t, bool extrapolate=false) const
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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