DefaultDensityStructure Class Reference
Default-density term structure. More...
#include <ql/termstructures/credit/defaultdensitystructure.hpp>
Inheritance diagram for DefaultDensityStructure:

Public Member Functions | |
Constructors | |
DefaultDensityStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
DefaultDensityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
DefaultDensityStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
Protected Member Functions | |
DefaultProbabilityTermStructure implementation | |
Probability | survivalProbabilityImpl (Time) const |
survival probability calculation |
Detailed Description
Default-density term structure.
This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the defaultDensityImpl(Time)
method in derived classes.
Survival/default probabilities and hazard rates are calculated from default densities.
Member Function Documentation
Probability survivalProbabilityImpl | ( | Time | ) | const [protected, virtual] |
survival probability calculation
implemented in terms of the default density as
- Warning:
- This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
Implements DefaultProbabilityTermStructure.
Reimplemented in InterpolatedDefaultDensityCurve.