NAME

QuantLib::DefaultProbabilityTermStructure - default probability term structure

SYNOPSIS


#include <ql/termstructures/defaulttermstructure.hpp>

Inherits QuantLib::TermStructure.

Inherited by DefaultDensityStructure, and HazardRateStructure.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.


DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter())
default constructor
DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter())
initialize with a fixed reference date
DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date

Default probability


Probability defaultProbability (const Date &, bool extrapolate=false) const
probability of default between today and a given date
Probability defaultProbability (Time, bool extrapolate=false) const
probability of default between today (t = 0) and a given time
Probability defaultProbability (const Date &, const Date &, bool extrapolate=false) const
probability of default between two given dates
Probability defaultProbability (Time, Time, bool extrapolate=false) const
probability of default between two given times

Survival probability


Probability survivalProbability (const Date &, bool extrapolate=false) const
probability of survival between today and a given date
Probability survivalProbability (Time, bool extrapolate=false) const
probability of default between today (t = 0) and a given time

Default density


Real defaultDensity (const Date &, bool extrapolate=false) const
default density at a given date
Real defaultDensity (Time, bool extrapolate=false) const
default density at a given time

Hazard 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 time

Detailed 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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