QuantLib_DefaultDensityStructure (3) - Linux Manuals
QuantLib_DefaultDensityStructure: default-density adapter for default-probability term structures
NAME
QuantLib::DefaultDensityStructure - default-density adapter for default-probability term structures
SYNOPSIS
#include <ql/termstructures/credit/defaultdensitystructure.hpp>
Inherits QuantLib::DefaultProbabilityTermStructure.
Inherited by InterpolatedDefaultDensityCurve< Interpolator >.
Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
DefaultDensityStructure (const DayCounter &dc=DayCounter())
default constructor
DefaultDensityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter())
initialize with a fixed reference date
DefaultDensityStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date
Protected Member Functions
Probability survivalProbabilityImpl (Time) const
probability of survival between today (t = 0) and a given time
Real hazardRateImpl (Time) const
instantaneous hazard rate at a given time
Detailed Description
default-density adapter for default-probability term structures
Constructor & Destructor Documentation
DefaultDensityStructure (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.
Member Function Documentation
Probability survivalProbabilityImpl (Time) const [protected, virtual]
probability of survival between today (t = 0) and a given time
implemented in terms of the default density $ p(t) $ as [ S(t) = 1 - int_0^t p( au) d au. ]
Note:
- This implementation uses numerical integration. Derived classes should override it if a more efficient formula is available.
Implements DefaultProbabilityTermStructure.
Reimplemented in InterpolatedDefaultDensityCurve< Interpolator >.
Real hazardRateImpl (Time) const [protected, virtual]
instantaneous hazard rate at a given time
implemented in terms of the default density $ p(t) $ and the survival probability $ S(t) $ as $ h(t) = p(t)/S(t). $
Implements DefaultProbabilityTermStructure.
Author
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