InterpolatedSurvivalProbabilityCurve< Interpolator > Class Template Reference

DefaultProbabilityTermStructure based on interpolation of survival probabilities. More...

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

Inheritance diagram for InterpolatedSurvivalProbabilityCurve< Interpolator >:

List of all members.

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
 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< 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
 survival probability calculation
Real defaultDensityImpl (Time) const
 instantaneous default density at a given time

Protected Attributes

std::vector< Datedates_

Detailed Description

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

DefaultProbabilityTermStructure based on interpolation of survival probabilities.


Member Function Documentation

Real defaultDensityImpl ( Time  ) const [protected, virtual]

instantaneous default density at a given time

implemented in terms of the survival probability $ S(t) $ as $ p(t) = -\frac{d}{dt} S(t). $

Warning:
This implementation uses numerical differentiation, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.

Reimplemented from SurvivalProbabilityStructure.