#include <qle/termstructures/adjusteddefaultcurve.hpp>

Inheritance diagram for AdjustedDefaultCurve:

Collaboration diagram for AdjustedDefaultCurve:

Public Member Functions
	AdjustedDefaultCurve (const Handle< DefaultProbabilityTermStructure > &source, const Handle< Quote > &multiplier)

Date	maxDate () const override

const Date &	referenceDate () const override

Protected Member Functions
Real	survivalProbabilityImpl (Time t) const override

void	update () override

Protected Attributes
const Handle< DefaultProbabilityTermStructure >	source_

const Handle< Quote >	multiplier_

Detailed Description

Definition at line 31 of file adjusteddefaultcurve.hpp.

Constructor & Destructor Documentation

◆ AdjustedDefaultCurve()

AdjustedDefaultCurve	(	const Handle< DefaultProbabilityTermStructure > &	source,
		const Handle< Quote > &	multiplier
	)

Definition at line 33 of file adjusteddefaultcurve.hpp.

        : SurvivalProbabilityStructure(source->dayCounter()), source_(source), multiplier_(multiplier) {
        registerWith(source);
        registerWith(multiplier);
        enableExtrapolation(source->allowsExtrapolation());
    }

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 39 of file adjusteddefaultcurve.hpp.

39{ return source_->maxDate(); }

◆ referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 40 of file adjusteddefaultcurve.hpp.

40{ return source_->referenceDate(); }

◆ survivalProbabilityImpl()

Real survivalProbabilityImpl ( Time t ) const

overrideprotected

Definition at line 43 of file adjusteddefaultcurve.hpp.

                                                        {
        return std::pow(source_->survivalProbability(t), multiplier_->value());
    }

◆ update()

void update ( )

overrideprotected

Definition at line 46 of file adjusteddefaultcurve.hpp.

46{ SurvivalProbabilityStructure::update(); }

Member Data Documentation

◆ source_

const Handle<DefaultProbabilityTermStructure> source_

protected

Definition at line 47 of file adjusteddefaultcurve.hpp.

◆ multiplier_

const Handle<Quote> multiplier_