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

defaultDensities(3) and InterpolatedDefaultDensityCurve(3) are aliases of QuantLib_InterpolatedDefaultDensityCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib