DefaultProbabilityTermStructure Class Reference

default probability term structure More...

#include <ql/termstructures/defaulttermstructure.hpp>

Inheritance diagram for DefaultProbabilityTermStructure:

List of all members.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

 DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter())
 default constructor
 DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
Default probability
Probability defaultProbability (const Date &, bool extrapolate=false) const
 probability of default between today and a given date
Probability defaultProbability (Time, bool extrapolate=false) const
 probability of default between today (t = 0) and a given time
Probability defaultProbability (const Date &, const Date &, bool extrapolate=false) const
 probability of default between two given dates
Probability defaultProbability (Time, Time, bool extrapolate=false) const
 probability of default between two given times
Survival probability
Probability survivalProbability (const Date &, bool extrapolate=false) const
 probability of survival between today and a given date
Probability survivalProbability (Time, bool extrapolate=false) const
 probability of default between today (t = 0) and a given time
Default density
Real defaultDensity (const Date &, bool extrapolate=false) const
 default density at a given date
Real defaultDensity (Time, bool extrapolate=false) const
 default density at a given time
Hazard rate
Real hazardRate (const Date &, bool extrapolate=false) const
 hazard rate at a given date
Real hazardRate (Time, bool extrapolate=false) const
 hazard rate at a given time

Protected Member Functions

virtual Probability survivalProbabilityImpl (Time) const =0
 probability of survival between today (t = 0) and a given time
virtual Real defaultDensityImpl (Time) const =0
 instantaneous default density at a given time
virtual Real hazardRateImpl (Time) const =0
 instantaneous hazard rate at a given time


Detailed Description

default probability term structure

Constructor & Destructor Documentation

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.