DefaultProbabilityTermStructure Class Referenceabstract

Default probability term structure. More...

#include <ql/termstructures/defaulttermstructure.hpp>

Inheritance diagram for DefaultProbabilityTermStructure:

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 ()
 
- Public Member Functions inherited from TermStructure
 TermStructure (const DayCounter &dc=DayCounter())
 default constructor
 
 TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 
 TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
 
virtual DayCounter dayCounter () const
 the day counter used for date/time conversion
 
Time timeFromReference (const Date &date) const
 date/time conversion
 
virtual Date maxDate () const =0
 the latest date for which the curve can return values
 
virtual Time maxTime () const
 the latest time for which the curve can return values
 
virtual const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0
 
virtual Calendar calendar () const
 the calendar used for reference and/or option date calculation
 
virtual Natural settlementDays () const
 the settlementDays used for reference date calculation
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Extrapolator
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls
 
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls
 
bool allowsExtrapolation () const
 tells whether extrapolation is enabled
 

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
 
- Protected Member Functions inherited from TermStructure
void checkRange (const Date &d, bool extrapolate) const
 date-range check
 
void checkRange (Time t, bool extrapolate) const
 time-range check
 

Additional Inherited Members

- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 

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 
) const

The 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 
) const

The same day-counting rule used by the term structure should be used for calculating the passed time t.