InterpolatedSurvivalProbabilityCurve Class Template Reference
DefaultProbabilityTermStructure based on interpolation of survival probabilities. More...
#include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>
Inheritance diagram for InterpolatedSurvivalProbabilityCurve:

Public Member Functions | |
InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), 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 > & | data () const |
const std::vector< Probability > & | survivalProbabilities () const |
std::vector< std::pair< Date, Real > > | nodes () const |
Protected Member Functions | |
InterpolatedSurvivalProbabilityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
InterpolatedSurvivalProbabilityCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
InterpolatedSurvivalProbabilityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
DefaultProbabilityTermStructure implementation | |
Probability | survivalProbabilityImpl (Time) const |
survival probability calculation | |
Real | defaultDensityImpl (Time) const |
instantaneous default density at a given time | |
Protected Attributes | |
std::vector< Date > | dates_ |
Detailed Description
template<class Interpolator>
class QuantLib::InterpolatedSurvivalProbabilityCurve< Interpolator >
DefaultProbabilityTermStructure based on interpolation of survival probabilities.
Member Function Documentation
Real defaultDensityImpl | ( | Time | ) | const [protected, virtual] |
instantaneous default density at a given time
implemented in terms of the survival probability as
- Warning:
- This implementation uses numerical differentiation, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
Reimplemented from SurvivalProbabilityStructure.