CirppImpliedDefaultTermStructure Class Reference

#include <qle/models/cirppimplieddefaulttermstructure.hpp>

Inheritance diagram for CirppImpliedDefaultTermStructure:

Collaboration diagram for CirppImpliedDefaultTermStructure:

Public Member Functions
	CirppImpliedDefaultTermStructure (const QuantLib::ext::shared_ptr< CrCirpp > &model, const Size index, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false)
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
void	referenceDate (const Date &d)
void	referenceTime (const Time t)
void	state (const Real y)
void	move (const Date &d, const Real y)
void	move (const Time t, const Real y)
void	update () override

Protected Member Functions
Probability	survivalProbabilityImpl (Time) const override

Protected Attributes
const QuantLib::ext::shared_ptr< CrCirpp >	model_
const Size	index_
const bool	purelyTimeBased_
Date	referenceDate_
Real	relativeTime_
Real	y_

Detailed Description

The termstructure has the reference date of the model's termstructure at construction, but you can vary this as well as the state. The purely time based variant is mainly there for performance reasons, note that it does not provide the full term structure interface and does not send notifications on reference time updates.

Definition at line 45 of file cirppimplieddefaulttermstructure.hpp.

Constructor & Destructor Documentation

CirppImpliedDefaultTermStructure()

CirppImpliedDefaultTermStructure	(	const QuantLib::ext::shared_ptr< CrCirpp > &	model,
		const Size	index,
		const DayCounter &	dc = DayCounter(),
		const bool	purelyTimeBased = false
	)

Definition at line 23 of file cirppimplieddefaulttermstructure.cpp.

    : SurvivalProbabilityStructure(dc == DayCounter() ? model->defaultCurve()->dayCounter() : dc),
      model_(model), index_(index), purelyTimeBased_(purelyTimeBased),
      referenceDate_(purelyTimeBased ? Null<Date>() : model_->defaultCurve()->referenceDate()), y_(0.0) {
    registerWith(model_);
    update();
}

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Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 75 of file cirppimplieddefaulttermstructure.hpp.

                                                            {
    // we don't care - let the underlying classes throw
    // exceptions if applicable
    return Date::maxDate();
}

maxTime()

Time maxTime ( ) const

override

Definition at line 81 of file cirppimplieddefaulttermstructure.hpp.

                                                            {
    // see maxDate
    return QL_MAX_REAL;
}

referenceDate() [1/2]

const Date & referenceDate ( ) const

override

Definition at line 86 of file cirppimplieddefaulttermstructure.hpp.

                                                                         {
    QL_REQUIRE(!purelyTimeBased_, "reference date not available for purely "
                                  "time based term structure");
    return referenceDate_;
}

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referenceDate() [2/2]

void referenceDate

(

const Date &

d

)

Definition at line 92 of file cirppimplieddefaulttermstructure.hpp.

                                                                         {
    QL_REQUIRE(!purelyTimeBased_, "reference date not available for purely "
                                  "time based term structure");
    referenceDate_ = d;
    update();
}

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referenceTime()

void referenceTime

(

const Time

t

)

Definition at line 99 of file cirppimplieddefaulttermstructure.hpp.

                                                                        {
    QL_REQUIRE(purelyTimeBased_, "reference time can only be set for purely "
                                 "time based term structure");
    relativeTime_ = t;
}

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state()

void state

(

const Real

y

)

Definition at line 105 of file cirppimplieddefaulttermstructure.hpp.

                                                                {
    y_ = y;
}

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move() [1/2]

void move	(	const Date &	d,
		const Real	y
	)

Definition at line 109 of file cirppimplieddefaulttermstructure.hpp.

                                                                              {
    state(y);
    referenceDate(d);
}

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move() [2/2]

void move	(	const Time	t,
		const Real	y
	)

Definition at line 114 of file cirppimplieddefaulttermstructure.hpp.

                                                                             {
    state(y);
    referenceTime(t);
}

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update()

void update ( )

override

Definition at line 119 of file cirppimplieddefaulttermstructure.hpp.

                                                     {
    if (!purelyTimeBased_) {
        relativeTime_ = dayCounter().yearFraction(model_->defaultCurve()->referenceDate(), referenceDate_);
    }
    notifyObservers();
}

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survivalProbabilityImpl()

Real survivalProbabilityImpl ( Time  t ) const

overrideprotected

Definition at line 126 of file cirppimplieddefaulttermstructure.hpp.

                                                                                  {
    QL_REQUIRE(t >= 0.0, "negative time (" << t << ") given");
    if (QuantLib::close_enough(t, 0))
        return 1.0;
    return model_->survivalProbability(relativeTime_, relativeTime_+ t, y_);
}

Member Data Documentation

model_

const QuantLib::ext::shared_ptr<CrCirpp> model_

protected

Definition at line 66 of file cirppimplieddefaulttermstructure.hpp.

index_

const Size index_

protected

Definition at line 67 of file cirppimplieddefaulttermstructure.hpp.

purelyTimeBased_

const bool purelyTimeBased_

protected

Definition at line 68 of file cirppimplieddefaulttermstructure.hpp.

referenceDate_

Date referenceDate_

protected

Definition at line 69 of file cirppimplieddefaulttermstructure.hpp.

relativeTime_

Real relativeTime_

protected

Definition at line 70 of file cirppimplieddefaulttermstructure.hpp.

y_

Real y_

protected

Definition at line 70 of file cirppimplieddefaulttermstructure.hpp.