QuantLib_InterpolatedSurvivalProbabilityCurve

Langue: en

Version: 382878 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::InterpolatedSurvivalProbabilityCurve -

DefaultProbabilityTermStructure based on interpolation of survival probabilities.

SYNOPSIS


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

Inherits QuantLib::SurvivalProbabilityStructure, and QuantLib::InterpolatedCurve< Interpolator >.

Public Member Functions


InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

TermStructure interface

 


Date maxDate () const

other inspectors

 


const std::vector< Time > & times () const

const std::vector< Date > & dates () const

const std::vector< Real > & data () const

const std::vector< Probability > & survivalProbabilities () const

std::vector< std::pair< Date, Real > > nodes () const

Protected Member Functions


InterpolatedSurvivalProbabilityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

InterpolatedSurvivalProbabilityCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

InterpolatedSurvivalProbabilityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

DefaultProbabilityTermStructure implementation

 


Probability survivalProbabilityImpl (Time) const

Real defaultDensityImpl (Time) const

Protected Attributes


std::vector< Date > dates_

Detailed Description

template<class Interpolator> class QuantLib::InterpolatedSurvivalProbabilityCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of survival probabilities.

Author

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