InterpolatedDefaultDensityCurve (3) - Linux Manuals
InterpolatedDefaultDensityCurve: interpolated default-density curve
NAME
QuantLib::InterpolatedDefaultDensityCurve - interpolated default-density curve
SYNOPSIS
#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 curveMember 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.
Reimplemented from DefaultDensityStructure.
Author
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