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 (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

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).

Fri Sep 23 2016 Version 1.8.1 QuantLib