survivalProbability (3) Linux Manual Page
QuantLib::DefaultProbabilityTermStructure – default probability term structure
Synopsis
Real hazardRate (const Date &, bool extrapolate=false) const
hazard rate at a given date
Real hazardRate (Time, bool extrapolate=false) const
hazard rate at a given time
Protected Member Functions
virtual Probability survivalProbabilityImpl (Time) const =0
probability of survival between today (t = 0) and a given time
virtual Real defaultDensityImpl (Time) const =0
instantaneous default density at a given time
virtual Real hazardRateImpl (Time) const =0
instantaneous hazard rate at a given timeInherits QuantLib::TermStructure. Inherited by DefaultDensityStructure, and HazardRateStructure.
Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
Real hazardRate (const Date &, bool extrapolate=false) const
hazard rate at a given date
Real hazardRate (Time, bool extrapolate=false) const
hazard rate at a given time
Protected Member Functions
virtual Probability survivalProbabilityImpl (Time) const =0
probability of survival between today (t = 0) and a given time
virtual Real defaultDensityImpl (Time) const =0
instantaneous default density at a given time
virtual Real hazardRateImpl (Time) const =0
instantaneous hazard rate at a given timeDefault probability
Real hazardRate (const Date &, bool extrapolate=false) const
hazard rate at a given date
Real hazardRate (Time, bool extrapolate=false) const
hazard rate at a given time
Protected Member Functions
virtual Probability survivalProbabilityImpl (Time) const =0
probability of survival between today (t = 0) and a given time
virtual Real defaultDensityImpl (Time) const =0
instantaneous default density at a given time
virtual Real hazardRateImpl (Time) const =0
instantaneous hazard rate at a given timeSurvival probability
Real hazardRate (const Date &, bool extrapolate=false) const
hazard rate at a given date
Real hazardRate (Time, bool extrapolate=false) const
hazard rate at a given time
Protected Member Functions
virtual Probability survivalProbabilityImpl (Time) const =0
probability of survival between today (t = 0) and a given time
virtual Real defaultDensityImpl (Time) const =0
instantaneous default density at a given time
virtual Real hazardRateImpl (Time) const =0
instantaneous hazard rate at a given timeDefault density
Real hazardRate (const Date &, bool extrapolate=false) const
hazard rate at a given date
Real hazardRate (Time, bool extrapolate=false) const
hazard rate at a given time
Protected Member Functions
virtual Probability survivalProbabilityImpl (Time) const =0
probability of survival between today (t = 0) and a given time
virtual Real defaultDensityImpl (Time) const =0
instantaneous default density at a given time
virtual Real hazardRateImpl (Time) const =0
instantaneous hazard rate at a given timeHazard rate
Real hazardRate (const Date &, bool extrapolate=false) const
hazard rate at a given date
Real hazardRate (Time, bool extrapolate=false) const
hazard rate at a given time
Protected Member Functions
virtual Probability survivalProbabilityImpl (Time) const =0
probability of survival between today (t = 0) and a given time
virtual Real defaultDensityImpl (Time) const =0
instantaneous default density at a given time
virtual Real hazardRateImpl (Time) const =0
instantaneous hazard rate at a given timeDetailed Description
default probability term structure
Constructor & Destructor Documentation
DefaultProbabilityTermStructure (const DayCounter & dc = DayCounter())
default constructor
Warning
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Author
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