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QuantLib_DefaultProbabilityTermStructure
Langue: en
Version: 168623 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::DefaultProbabilityTermStructure - default probability term structureSYNOPSIS
#include <ql/termstructures/defaulttermstructure.hpp>
Inherits QuantLib::TermStructure.
Inherited by DefaultDensityStructure, and HazardRateStructure.
Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter())
default constructor
DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter())
initialize with a fixed reference date
DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date
Default probability
Probability defaultProbability (const Date &, bool extrapolate=false) const
probability of default between today and a given date
Probability defaultProbability (Time, bool extrapolate=false) const
probability of default between today (t = 0) and a given time
Probability defaultProbability (const Date &, const Date &, bool extrapolate=false) const
probability of default between two given dates
Probability defaultProbability (Time, Time, bool extrapolate=false) const
probability of default between two given times
Survival probability
Probability survivalProbability (const Date &, bool extrapolate=false) const
probability of survival between today and a given date
Probability survivalProbability (Time, bool extrapolate=false) const
probability of default between today (t = 0) and a given time
Default density
Real defaultDensity (const Date &, bool extrapolate=false) const
default density at a given date
Real defaultDensity (Time, bool extrapolate=false) const
default density at a given time
Hazard rate
Real hazardRate (const Date &, bool extrapolate=false) const
hazard rate at a given date
Real hazardRate (Time, bool extrapolate=false) const
hazard rate at a given time
Protected Member Functions
virtual Probability survivalProbabilityImpl (Time) const =0
probability of survival between today (t = 0) and a given time
virtual Real defaultDensityImpl (Time) const =0
instantaneous default density at a given time
virtual Real hazardRateImpl (Time) const =0
instantaneous hazard rate at a given time
Detailed Description
default probability term structure
Constructor & Destructor Documentation
DefaultProbabilityTermStructure (const DayCounter & dc = DayCounter())
default constructor
Warning
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Author
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Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre