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QuantLib_DefaultDensityStructure
Langue: en
Version: 382821 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::DefaultDensityStructure -Default-density term structure.
SYNOPSIS
#include <ql/termstructures/credit/defaultdensitystructure.hpp>
Inherits QuantLib::DefaultProbabilityTermStructure.
Inherited by InterpolatedDefaultDensityCurve< Interpolator >.
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( au) d au. ]
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.
Author
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