DefaultDensityStructure Class Reference

default-density adapter for default-probability term structures More...

#include <ql/termstructures/credit/defaultdensitystructure.hpp>

Inheritance diagram for DefaultDensityStructure:

List of all members.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding 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 structures

Constructor & 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 $ p(t) $ as

\[ S(t) = 1 - \int_0^t p(\tau) d\tau. \]

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 $ p(t) $ and the survival probability $ S(t) $ as $ h(t) = p(t)/S(t). $

Implements DefaultProbabilityTermStructure.