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(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
Survival probabilities | |
These methods return the survival probability from the reference date until a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date. | |
Probability | survivalProbability (const Date &d, bool extrapolate=false) const |
Probability | survivalProbability (Time t, bool extrapolate=false) const |
Default probabilities | |
These methods return the default probability from the reference date until a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date. | |
Probability | defaultProbability (const Date &d, bool extrapolate=false) const |
Probability | defaultProbability (Time t, bool extrapolate=false) const |
Probability | defaultProbability (const Date &, const Date &, bool extrapolate=false) const |
probability of default between two given dates | |
Probability | defaultProbability (Time, Time, bool extrapo=false) const |
probability of default between two given times | |
Default densities | |
These methods return the default density at a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date. | |
Real | defaultDensity (const Date &d, bool extrapolate=false) const |
Real | defaultDensity (Time t, bool extrapolate=false) const |
Hazard rates | |
These methods returns the hazard rate at a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.
Hazard rates are defined with annual frequency and continuous compounding. | |
Rate | hazardRate (const Date &d, bool extrapolate=false) const |
Rate | hazardRate (Time t, bool extrapolate=false) const |
Jump inspectors | |
const std::vector< Date > & | jumpDates () const |
const std::vector< Time > & | jumpTimes () const |
Observer interface | |
void | update () |
Protected Member Functions | |
Calculations | |
These methods must be implemented in derived classes to perform the actual calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. | |
virtual Probability | survivalProbabilityImpl (Time) const =0 |
survival probability calculation | |
virtual Real | defaultDensityImpl (Time) const =0 |
default density calculation |
Detailed Description
Default probability term structure.This abstract class defines the interface of concrete credit structures which will be derived from this one.
Member Function Documentation
Probability survivalProbability | ( | Time | t, | |
bool | extrapolate = false | |||
) | const |
The same day-counting rule used by the term structure should be used for calculating the passed time t.
Probability defaultProbability | ( | Time | t, | |
bool | extrapolate = false | |||
) | const |
The same day-counting rule used by the term structure should be used for calculating the passed time t.
void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from TermStructure.