GeneratorDefaultProbabilityTermStructure Class Reference

Default probability term structure implied from a transition matrix. More...

#include <qle/termstructures/generatordefaulttermstructure.hpp>

Inheritance diagram for GeneratorDefaultProbabilityTermStructure:

Collaboration diagram for GeneratorDefaultProbabilityTermStructure:

Public Types
enum class	MatrixType { Transition , Generator }

Public Member Functions
	GeneratorDefaultProbabilityTermStructure (MatrixType matrixType, Matrix matrix, Size initialState, const Date &referenceDate, const Calendar &cal=NullCalendar(), const DayCounter &dc=Actual365Fixed())
	Constructor using a single (annual!) transition matrix or a generator matrix. More...
Date	maxDate () const override
const Matrix &	transitionMatrix () const
	return the underlying annualised transition matrix More...
const Matrix &	generator () const

Protected Member Functions
Probability	survivalProbabilityImpl (Time) const override

Private Attributes
Size	initialState_
Matrix	transitionMatrix_
Matrix	generator_

Detailed Description

Default probability term structure implied from a transition matrix.

This class uses a transition or generator matrix to imply cumulative survival probabilities depending on initial state.

Definition at line 41 of file generatordefaulttermstructure.hpp.

Member Enumeration Documentation

MatrixType

enum class MatrixType

strong

Enumerator
Transition
Generator

Definition at line 43 of file generatordefaulttermstructure.hpp.

{ Transition, Generator };

Constructor & Destructor Documentation

GeneratorDefaultProbabilityTermStructure()

GeneratorDefaultProbabilityTermStructure	(	MatrixType	matrixType,
		Matrix	matrix,
		Size	initialState,
		const Date &	referenceDate,
		const Calendar &	cal = NullCalendar(),
		const DayCounter &	dc = Actual365Fixed()
	)

Constructor using a single (annual!) transition matrix or a generator matrix.

Definition at line 30 of file generatordefaulttermstructure.cpp.

    : SurvivalProbabilityStructure(referenceDate, cal, dc), initialState_(initialState),
      transitionMatrix_(matrixType == MatrixType::Transition ? matrix : Matrix()),
      generator_(matrixType == MatrixType::Generator ? matrix : Matrix()) {
 
    QL_REQUIRE(matrix.rows() == matrix.columns(), "input matrix is not square");
 
    // compute/check the generator
    if (matrixType == MatrixType::Transition) {
        sanitiseTransitionMatrix(transitionMatrix_);
        checkTransitionMatrix(transitionMatrix_);
        generator_ = QuantExt::generator(transitionMatrix_);
    }
    checkGeneratorMatrix(generator_);
}

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Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 48 of file generatordefaulttermstructure.hpp.

{ return QuantLib::Date::maxDate(); }

transitionMatrix()

const Matrix & transitionMatrix

(

)

const

return the underlying annualised transition matrix

Definition at line 51 of file generatordefaulttermstructure.hpp.

{ return transitionMatrix_; }

generator()

const Matrix & generator

(

)

const

Definition at line 52 of file generatordefaulttermstructure.hpp.

{ return generator_; }

survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time  t ) const

overrideprotected

Definition at line 50 of file generatordefaulttermstructure.cpp.

                                                                                          {
    QL_REQUIRE(t >= 0.0, "non-negative time required");
    Matrix Q = QuantExt::Expm(generator_ * t);
    QL_REQUIRE(initialState_ < Q.rows(),
               "initial state " << initialState_ << " out of range [0," << Q.rows() - 1 << "]");
    Size lastState = Q.columns() - 1;
    return 1.0 - Q[initialState_][lastState];
}

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Member Data Documentation

initialState_

Size initialState_

private

Definition at line 58 of file generatordefaulttermstructure.hpp.

transitionMatrix_

Matrix transitionMatrix_

private

Definition at line 59 of file generatordefaulttermstructure.hpp.

generator_

Matrix generator_

private

Definition at line 60 of file generatordefaulttermstructure.hpp.