QuantLib::InterpolatedDefaultDensityCurve - interpolated default-density curve


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

Inherits QuantLib::DefaultDensityStructure, and boost::noncopyable.

Public Member Functions

InterpolatedDefaultDensityCurve (const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), 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 > & defaultDensities () const

std::vector< std::pair< Date, Real > > nodes () const

Protected Member Functions

InterpolatedDefaultDensityCurve (const DayCounter &, const Interpolator &interpolator=Interpolator())

InterpolatedDefaultDensityCurve (const Date &referenceDate, const DayCounter &, const Interpolator &interpolator=Interpolator())

InterpolatedDefaultDensityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const Interpolator &interpolator=Interpolator())

Real defaultDensityImpl (Time) const
instantaneous default density at a given time
Probability survivalProbabilityImpl (Time) const
probability of survival between today (t = 0) and a given time

Protected Attributes

std::vector< Date > dates_

std::vector< Time > times_

std::vector< Real > data_

Interpolation interpolation_

Interpolator interpolator_

Detailed Description

template<class Interpolator> class QuantLib::InterpolatedDefaultDensityCurve< Interpolator >

interpolated default-density curve

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. ]


This implementation uses numerical integration. Derived classes should override it if a more efficient formula is available.

Reimplemented from DefaultDensityStructure.


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