ImpliedDefaultTermStructure Class Reference

#include <qle/termstructures/implieddefaulttermstructure.hpp>

Inheritance diagram for ImpliedDefaultTermStructure:

Collaboration diagram for ImpliedDefaultTermStructure:

Public Member Functions
	ImpliedDefaultTermStructure (const Handle< DefaultProbabilityTermStructure > &t, const Date &referenceDate)
DayCounter	dayCounter () const
Calendar	calendar () const
Natural	settlementDays () const
Date	maxDate () const
const std::vector< Date > &	jumpDates () const
const std::vector< Time > &	jumpTimes () const

Private Member Functions
Probability	survivalProbabilityImpl (Time t) const

Private Attributes
Handle< DefaultProbabilityTermStructure >	t_
Real	timeOffset_

Detailed Description

Definition at line 31 of file implieddefaulttermstructure.hpp.

Constructor & Destructor Documentation

ImpliedDefaultTermStructure()

ImpliedDefaultTermStructure	(	const Handle< DefaultProbabilityTermStructure > &	t,
		const Date &	referenceDate
	)

Definition at line 33 of file implieddefaulttermstructure.hpp.

        : SurvivalProbabilityStructure(referenceDate), t_(t) {
        timeOffset_ = t->timeFromReference(referenceDate);
        registerWith(t_);
        enableExtrapolation(t_->allowsExtrapolation());
    }

Member Function Documentation

dayCounter()

DayCounter dayCounter

(

)

const

Definition at line 39 of file implieddefaulttermstructure.hpp.

{ return t_->dayCounter(); }

calendar()

Calendar calendar

(

)

const

Definition at line 40 of file implieddefaulttermstructure.hpp.

{ return t_->calendar(); }

settlementDays()

Natural settlementDays

(

)

const

Definition at line 41 of file implieddefaulttermstructure.hpp.

{ return t_->settlementDays(); }

maxDate()

Date maxDate

(

)

const

Definition at line 42 of file implieddefaulttermstructure.hpp.

{ return t_->maxDate(); }

jumpDates()

const std::vector< Date > & jumpDates

(

)

const

Definition at line 43 of file implieddefaulttermstructure.hpp.

{ return t_->jumpDates(); }

jumpTimes()

const std::vector< Time > & jumpTimes

(

)

const

Definition at line 44 of file implieddefaulttermstructure.hpp.

{ return t_->jumpTimes(); }

survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time  t ) const

private

Definition at line 47 of file implieddefaulttermstructure.hpp.

                                                      {
        return t_->survivalProbability(t + timeOffset_) / t_->survivalProbability(t);
    }

Member Data Documentation

t_

Handle<DefaultProbabilityTermStructure> t_

private

Definition at line 50 of file implieddefaulttermstructure.hpp.

timeOffset_

Real timeOffset_

private

Definition at line 51 of file implieddefaulttermstructure.hpp.