- QuantLib
- InterpolatedDefaultDensityCurve
 
DefaultProbabilityTermStructure based on interpolation of default densities. More...
#include <ql/termstructures/credit/interpolateddefaultdensitycurve.hpp>

| 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_ | 
DefaultProbabilityTermStructure based on interpolation of default densities.
| Probability survivalProbabilityImpl | ( | Time | ) | const  [protected, virtual] | 
survival probability calculation
implemented in terms of the default density  as
 as 
![\[ S(t) = 1 - \int_0^t p(\tau) d\tau. \]](form_368.png) 
Reimplemented from DefaultDensityStructure.