InterpolatedSurvivalProbabilityCurve< Interpolator > Class Template Reference
DefaultProbabilityTermStructure based on interpolation of survival probabilities. More...
#include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>
Inheritance diagram for InterpolatedSurvivalProbabilityCurve< 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={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={}) | |
| InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator) | |
| InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, const DayCounter &dayCounter, const Interpolator &interpolator) | |
TermStructure interface | |
| Date | maxDate () const override |
| the latest date for which the curve can return values | |
| Public Member Functions inherited from SurvivalProbabilityStructure | |
| SurvivalProbabilityStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) | |
| SurvivalProbabilityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) | |
| SurvivalProbabilityStructure (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_ |
| Probability | survivalProbabilityImpl (Time) const override |
| survival probability calculation | |
| Real | defaultDensityImpl (Time) const override |
| default density calculation | |
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 |
| InterpolatedSurvivalProbabilityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={}) | |
| InterpolatedSurvivalProbabilityCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={}) | |
| InterpolatedSurvivalProbabilityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={}) | |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from SurvivalProbabilityStructure | |
| Real | defaultDensityImpl (Time) const override |
| instantaneous default density at a given time | |
| virtual Real | hazardRateImpl (Time) const |
| hazard rate calculation | |
| 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 () |
| 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::InterpolatedSurvivalProbabilityCurve< Interpolator >
class QuantLib::InterpolatedSurvivalProbabilityCurve< Interpolator >
DefaultProbabilityTermStructure based on interpolation of survival probabilities.
Member Function Documentation
◆ maxDate()
template<class T>
|
overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
◆ survivalProbabilityImpl()
template<class Interpolator>
|
overrideprotectedvirtual |
survival probability calculation
Implements DefaultProbabilityTermStructure.
◆ defaultDensityImpl()
default density calculation
Implements DefaultProbabilityTermStructure.
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