InterpolatedDefaultDensityCurve Class Template Reference

interpolated default-density curve More...

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

Inheritance diagram for InterpolatedDefaultDensityCurve:

List of all members.

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< Datedates_
std::vector< Time > times_
std::vector< Realdata_
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 $ 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.

Reimplemented from DefaultDensityStructure.