DefaultDensityStructure (3) - Linux Manuals

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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