InterpolatedAffineHazardRateCurve< Interpolator > Class Template Reference

#include <ql/experimental/credit/interpolatedaffinehazardratecurve.hpp>

Inheritance diagram for InterpolatedAffineHazardRateCurve< Interpolator >:

Public Member Functions
	InterpolatedAffineHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const ext::shared_ptr< OneFactorAffineModel > &model, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
	InterpolatedAffineHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const ext::shared_ptr< OneFactorAffineModel > &model, const Calendar &calendar, const Interpolator &interpolator)
	InterpolatedAffineHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const ext::shared_ptr< OneFactorAffineModel > &model, const Interpolator &interpolator)
TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values
Public Member Functions inherited from OneFactorAffineSurvivalStructure
	OneFactorAffineSurvivalStructure (ext::shared_ptr< OneFactorAffineModel > model, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
	OneFactorAffineSurvivalStructure (ext::shared_ptr< OneFactorAffineModel > model, 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 >())
	OneFactorAffineSurvivalStructure (ext::shared_ptr< OneFactorAffineModel > model, Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
Date	maxDate () const override
	the latest date for which the curve can return values
Probability	conditionalSurvivalProbability (const Date &dFwd, const Date &dTgt, Real yVal, bool extrapolate=false) const
Probability	conditionalSurvivalProbability (Time tFwd, Time tgt, Real yVal, bool extrapolate=false) const
Rate	hazardRate (Time t, bool extrapolate=false) const
Rate	hazardRate (const Date &d, bool extrapolate=false) const
Public Member Functions inherited from HazardRateStructure
	HazardRateStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
	HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
	HazardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
Public Member Functions inherited from DefaultProbabilityTermStructure
	DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
	DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
	DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
Probability	survivalProbability (const Date &d, bool extrapolate=false) const
Probability	survivalProbability (Time t, bool extrapolate=false) const
Probability	defaultProbability (const Date &d, bool extrapolate=false) const
Probability	defaultProbability (Time t, bool extrapolate=false) const
Probability	defaultProbability (const Date &, const Date &, bool extrapolate=false) const
	probability of default between two given dates
Probability	defaultProbability (Time, Time, bool extrapo=false) const
	probability of default between two given times
Real	defaultDensity (const Date &d, bool extrapolate=false) const
Real	defaultDensity (Time t, bool extrapolate=false) const
Rate	hazardRate (const Date &d, bool extrapolate=false) const
Rate	hazardRate (Time t, bool extrapolate=false) const
const std::vector< Date > &	jumpDates () const
const std::vector< Time > &	jumpTimes () const
void	update () override
Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Time	maxTime () const
	the latest time for which the curve can return values
virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0
virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation
virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation
void	update () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled

DefaultProbabilityTermStructure implementation
std::vector< Date >	dates_
Rate	hazardRate (const Date &d, bool extrapolate=false) const
Rate	hazardRate (Time t, bool extrapolate=false) const
Real	hazardRateImpl (Time) const override
	Returns the deterministic hazard rate component.
Probability	survivalProbabilityImpl (Time) const override
Probability	conditionalSurvivalProbabilityImpl (Time tFwd, Time tTarget, Real yVal) const override

other inspectors
const std::vector< Time > &	times () const
const std::vector< Date > &	dates () const
const std::vector< Real > &	data () const
const std::vector< Rate > &	hazardRates () const
std::vector< std::pair< Date, Real > >	nodes () const
	InterpolatedAffineHazardRateCurve (const DayCounter &, const ext::shared_ptr< OneFactorAffineModel > &model, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
	InterpolatedAffineHazardRateCurve (const Date &referenceDate, const DayCounter &, const ext::shared_ptr< OneFactorAffineModel > &model, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
	InterpolatedAffineHazardRateCurve (Natural settlementDays, const Calendar &, const DayCounter &, const ext::shared_ptr< OneFactorAffineModel > &model, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Probability	survivalProbabilityImpl (Time) const override
Real	defaultDensityImpl (Time) const override
	default density calculation
Real	hazardRateImpl (Time) const override
	hazard rate calculation
Protected Member Functions inherited from HazardRateStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check
Protected Member Functions inherited from InterpolatedCurve< Interpolator >
	InterpolatedCurve (std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator())
	InterpolatedCurve (std::vector< Time > times, const Interpolator &i=Interpolator())
	InterpolatedCurve (Size n, const Interpolator &i=Interpolator())
	InterpolatedCurve (const Interpolator &i=Interpolator())
	InterpolatedCurve (const InterpolatedCurve &c)
InterpolatedCurve &	operator= (const InterpolatedCurve &c)
	InterpolatedCurve (InterpolatedCurve &&c) noexcept
InterpolatedCurve &	operator= (InterpolatedCurve &&c) noexcept
void	setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)
void	setupInterpolation ()
ext::shared_ptr< OneFactorAffineModel >	model_
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_
std::vector< Time >	times_
std::vector< Real >	data_
Interpolation	interpolation_
Interpolator	interpolator_
Date	maxDate_

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedAffineHazardRateCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of a deterministic hazard rate component plus a stochastic one factor rate.

Member Function Documentation

maxDate()

template<class T>

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

hazardRateImpl()

template<class Interpolator>

Real hazardRateImpl ( Time ) const

overrideprotectedvirtual

Returns the deterministic hazard rate component.

Reimplemented from HazardRateStructure.

survivalProbabilityImpl()

template<class Interpolator>

Probability survivalProbabilityImpl ( Time ) const

overrideprotectedvirtual

survival probability calculation implemented in terms of the hazard rate \( h(t) \) as

\[S(t) = \exp\left( - \int_0^t h(\tau) d\tau \right). \]

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.

Reimplemented from HazardRateStructure.

conditionalSurvivalProbabilityImpl()

template<class Interpolator>

Probability conditionalSurvivalProbabilityImpl ( Time tFwd, Time tTarget, Real yVal ) const

overrideprotectedvirtual

Probability of default conditional to the realization of a given value of the stochastic part of the hazard rate at a prior time (and thus to survival at that time). \( P_{surv}(\tau>tTarget|F_{tFwd}) \)

Reimplemented from OneFactorAffineSurvivalStructure.