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QuantLib_DefaultProbabilityTermStructure

NAME

QuantLib::DefaultProbabilityTermStructure -

Default probability term structure.

SYNOPSIS

#include <ql/termstructures/defaulttermstructure.hpp>

Inherits QuantLib::TermStructure.

Inherited by DefaultDensityStructure, HazardRateStructure, and SurvivalProbabilityStructure.

Public Member Functions

Constructors

 See the TermStructure documentation for issues regarding 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) constThe 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) constThe same day-counting rule used by the term structure should be used for calculating the passed time t.

Author

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