QuantLib_InterpolatedDefaultDensityCurve man page

InterpolatedDefaultDensityCurve< Interpolator > — DefaultProbabilityTermStructure based on interpolation of default densities.  

Synopsis

#include <ql/termstructures/credit/interpolateddefaultdensitycurve.hpp>

Inherits DefaultDensityStructure, and InterpolatedCurve< Interpolator >.

Public Member Functions

InterpolatedDefaultDensityCurve (const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedDefaultDensityCurve (const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)
InterpolatedDefaultDensityCurve (const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Interpolator &interpolator)

TermStructure interface

Date maxDate () const
the latest date for which the curve can return values

other inspectors

const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< Real > & data () const
const std::vector< Real > & defaultDensities () const
std::vector< std::pair< Date, Real > > nodes () const

Protected Member Functions

InterpolatedDefaultDensityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedDefaultDensityCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedDefaultDensityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

DefaultDensityStructure implementation

Real defaultDensityImpl (Time) const
default density calculation
Probability survivalProbabilityImpl (Time) const
survival probability calculation

Protected Attributes

std::vector< Date > dates_

Additional Inherited Members

Detailed Description

template<class Interpolator>

class QuantLib::InterpolatedDefaultDensityCurve< Interpolator >" DefaultProbabilityTermStructure based on interpolation of default densities.

Member Function Documentation

Probability survivalProbabilityImpl (Time) const [protected], [virtual]

survival probability calculation implemented in terms of the default density $ p(t) $ as [ S(t) = 1 - int_0^t p( au) d au. ]

Warning

This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.

Reimplemented from DefaultDensityStructure.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages defaultDensities(3) and InterpolatedDefaultDensityCurve(3) are aliases of QuantLib_InterpolatedDefaultDensityCurve(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib