QuantLib_SurvivalProbabilityStructure

Langue: en

Version: 374711 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::SurvivalProbabilityStructure -

Hazard-rate term structure.

SYNOPSIS


#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>

Inherits QuantLib::DefaultProbabilityTermStructure.

Inherited by InterpolatedSurvivalProbabilityCurve< Interpolator >.

Public Member Functions

Constructors

 See the TermStructure documentation for issues regarding constructors. 


SurvivalProbabilityStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

SurvivalProbabilityStructure (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 >())

SurvivalProbabilityStructure (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

 


Real defaultDensityImpl (Time) const
instantaneous default density at a given time

Detailed Description

Hazard-rate term structure.

This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the survivalProbabilityImpl(Time) method in derived classes.

Hazard rates and default densities are calculated from 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 $ S(t) $ as $ p(t) = -ac{d}{dt} S(t). $

Warning

This implementation uses numerical differentiation, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.

Implements DefaultProbabilityTermStructure.

Author

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