- QuantLib
- InterpolatedSurvivalProbabilityCurve
 
DefaultProbabilityTermStructure based on interpolation of survival probabilities. More...
#include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>

| Public Member Functions | |
| InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, 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()) | |
| 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< Probability > & | survivalProbabilities () const | 
| std::vector< std::pair< Date, Real > > | nodes () const | 
| Protected Member Functions | |
| InterpolatedSurvivalProbabilityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
| InterpolatedSurvivalProbabilityCurve (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()) | |
| InterpolatedSurvivalProbabilityCurve (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()) | |
| DefaultProbabilityTermStructure implementation | |
| Probability | survivalProbabilityImpl (Time) const | 
| survival probability calculation | |
| Real | defaultDensityImpl (Time) const | 
| instantaneous default density at a given time | |
| Protected Attributes | |
| std::vector< Date > | dates_ | 
DefaultProbabilityTermStructure based on interpolation of survival probabilities.
| Real defaultDensityImpl | ( | Time | ) | const  [protected, virtual] | 
instantaneous default density at a given time
implemented in terms of the survival probability  as
 as 
Reimplemented from SurvivalProbabilityStructure.