DefaultDensityStructure Class Reference

Default-density term structure. 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 &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 $ p(t) $ as

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

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< Interpolator >.