# QuantLib_DefaultProbabilityTermStructure man page

DefaultProbabilityTermStructure — Default probability term structure.

## Synopsis

`#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(constDayCounter&dc=DayCounter(), const std::vector<Handle<Quote> > &jumps=std::vector<Handle<Quote> >(), const std::vector<Date> &jumpDates=std::vector<Date>())DefaultProbabilityTermStructure(constDate&referenceDate, constCalendar&cal=Calendar(), constDayCounter&dc=DayCounter(), const std::vector<Handle<Quote> > &jumps=std::vector<Handle<Quote> >(), const std::vector<Date> &jumpDates=std::vector<Date>())DefaultProbabilityTermStructure(Natural settlementDays, constCalendar&cal, constDayCounter&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(constDate&d, bool extrapolate=false) constProbability survivalProbability(Timet, 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(constDate&d, bool extrapolate=false) constProbability defaultProbability(Timet, bool extrapolate=false) constProbability defaultProbability(constDate&, constDate&, bool extrapolate=false) const

probability of default between two given datesProbability 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(constDate&d, bool extrapolate=false) constReal defaultDensity(Timet, 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(constDate&d, bool extrapolate=false) constRate hazardRate(Timet, bool extrapolate=false) const

**Jump inspectors**

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

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

**Observer interface**

voidupdate()

### 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.

virtualProbability survivalProbabilityImpl(Time) const =0

survival probability calculation

virtualReal defaultDensityImpl(Time) const =0

default density calculation

### Additional Inherited Members

## Detailed Description

Default probability term structure.

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

## Member Function Documentation

### 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**.

## Author

Generated automatically by Doxygen for QuantLib from the source code.

## Referenced By

defaultDensity(3), defaultDensityImpl(3), defaultProbability(3), DefaultProbabilityTermStructure(3), hazardRate(3), jumpDates(3), jumpTimes(3) and survivalProbability(3) are aliases of QuantLib_DefaultProbabilityTermStructure(3).