# 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).