DefaultProbabilityTermStructure Class Reference
default probability term structure More...
#include <ql/termstructures/defaulttermstructure.hpp>
Inheritance diagram for DefaultProbabilityTermStructure:

Public Member Functions | |
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 structureConstructor & Destructor Documentation
DefaultProbabilityTermStructure | ( | 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.