- QuantLib
- InterpolatedDefaultDensityCurve
DefaultProbabilityTermStructure based on interpolation of default densities. More...
#include <ql/termstructures/credit/interpolateddefaultdensitycurve.hpp>
Public Member Functions | |
InterpolatedDefaultDensityCurve (const std::vector< Date > &dates, const std::vector< Real > &densities, 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()) | |
InterpolatedDefaultDensityCurve (const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator) | |
InterpolatedDefaultDensityCurve (const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Interpolator &interpolator) | |
TermStructure interface | |
Date | maxDate () const |
the latest date for which the curve can return values | |
other inspectors | |
const std::vector< Time > & | times () const |
const std::vector< Date > & | dates () const |
const std::vector< Real > & | data () const |
const std::vector< Real > & | defaultDensities () const |
std::vector< std::pair< Date, Real > > | nodes () const |
Protected Member Functions | |
InterpolatedDefaultDensityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) | |
InterpolatedDefaultDensityCurve (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()) | |
InterpolatedDefaultDensityCurve (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()) | |
DefaultDensityStructure implementation | |
Real | defaultDensityImpl (Time) const |
default density calculation | |
Probability | survivalProbabilityImpl (Time) const |
survival probability calculation | |
Protected Attributes | |
std::vector< Date > | dates_ |
DefaultProbabilityTermStructure based on interpolation of default densities.
Probability survivalProbabilityImpl | ( | Time | ) | const [protected, virtual] |
survival probability calculation
implemented in terms of the default density as
Reimplemented from DefaultDensityStructure.