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QuantLib_DefaultDensityStructure

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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