InterpolatedDefaultDensityCurve Class Template Reference
interpolated default-density curve More...
#include <ql/termstructures/credit/interpolateddefaultdensitycurve.hpp>
Inheritance diagram for InterpolatedDefaultDensityCurve:

Public Member Functions | |
InterpolatedDefaultDensityCurve (const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), 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 > & | defaultDensities () const |
std::vector< std::pair< Date, Real > > | nodes () const |
Protected Member Functions | |
InterpolatedDefaultDensityCurve (const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
InterpolatedDefaultDensityCurve (const Date &referenceDate, const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
InterpolatedDefaultDensityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
Real | defaultDensityImpl (Time) const |
instantaneous default density at a given time | |
Probability | survivalProbabilityImpl (Time) const |
probability of survival between today (t = 0) and a given time | |
Protected Attributes | |
std::vector< Date > | dates_ |
std::vector< Time > | times_ |
std::vector< Real > | data_ |
Interpolation | interpolation_ |
Interpolator | interpolator_ |
Detailed Description
template<class Interpolator>
class QuantLib::InterpolatedDefaultDensityCurve< Interpolator >
interpolated default-density curve Member Function Documentation
Probability survivalProbabilityImpl | ( | Time | ) | const [protected, virtual] |
probability of survival between today (t = 0) and a given time
implemented in terms of the default density as
- Note:
- This implementation uses numerical integration. Derived classes should override it if a more efficient formula is available.
Reimplemented from DefaultDensityStructure.