- QuantLib
- DefaultProbabilityTermStructure
 
Default probability term structure. More...
#include <ql/termstructures/defaulttermstructure.hpp>

| 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 | |
Default probability term structure.
This abstract class defines the interface of concrete credit structures which will be derived from this one.
| 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.