DefaultDensityStructure Class Reference
default-density adapter for default-probability term structures More...
#include <ql/termstructures/credit/defaultdensitystructure.hpp>
Inheritance diagram for DefaultDensityStructure:

Public Member Functions | |
Constructors | |
DefaultDensityStructure (const DayCounter &dc=DayCounter()) | |
default constructor | |
DefaultDensityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
DefaultDensityStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
Protected Member Functions | |
Probability | survivalProbabilityImpl (Time) const |
probability of survival between today (t = 0) and a given time | |
Real | hazardRateImpl (Time) const |
instantaneous hazard rate at a given time |
Detailed Description
default-density adapter for default-probability term structuresConstructor & Destructor Documentation
DefaultDensityStructure | ( | const DayCounter & | dc = DayCounter() |
) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
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.
Implements DefaultProbabilityTermStructure.
Reimplemented in InterpolatedDefaultDensityCurve.
Real hazardRateImpl | ( | Time | ) | const [protected, virtual] |
instantaneous hazard rate at a given time
implemented in terms of the default density and the survival probability
as
Implements DefaultProbabilityTermStructure.