InterpolatedSurvivalProbabilityCurve< Interpolator > Class Template Reference

DefaultProbabilityTermStructure based on interpolation of survival probabilities. More...

#include <qle/termstructures/interpolatedsurvivalprobabilitycurve.hpp>

Inheritance diagram for InterpolatedSurvivalProbabilityCurve< Interpolator >:

Collaboration diagram for InterpolatedSurvivalProbabilityCurve< Interpolator >:

Public Member Functions
	InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)
TermStructure interface
Date	maxDate () const override

DefaultProbabilityTermStructure implementation
std::vector< Date >	dates_
bool	allowNegativeRates_
Probability	survivalProbabilityImpl (Time) const override
Real	defaultDensityImpl (Time) const override

other inspectors
const std::vector< Time > &	times () const
const std::vector< Date > &	dates () const
const std::vector< Real > &	data () const
const std::vector< Probability > &	survivalProbabilities () const
std::vector< std::pair< Date, Real > >	nodes () const
	InterpolatedSurvivalProbabilityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)
	InterpolatedSurvivalProbabilityCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)
	InterpolatedSurvivalProbabilityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedSurvivalProbabilityCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of survival probabilities.

Definition at line 54 of file interpolatedsurvivalprobabilitycurve.hpp.

Constructor & Destructor Documentation

InterpolatedSurvivalProbabilityCurve() [1/4]

InterpolatedSurvivalProbabilityCurve	(	const std::vector< Date > &	dates,
		const std::vector< Probability > &	probabilities,
		const DayCounter &	dayCounter,
		const Calendar &	calendar = Calendar(),
		const std::vector< Handle< Quote > > &	jumps = std::vector< Handle< Quote > >(),
		const std::vector< Date > &	jumpDates = std::vector< Date >(),
		const Interpolator &	interpolator = Interpolator(),
		const bool	allowNegativeRates = false
	)

InterpolatedSurvivalProbabilityCurve() [2/4]

InterpolatedSurvivalProbabilityCurve ( const DayCounter &  , const std::vector< Handle< Quote > > &  jumps = std::vector< Handle< Quote > >(), const std::vector< Date > &  jumpDates = std::vector< Date >(), const Interpolator &  interpolator = Interpolator(), const bool  allowNegativeRates = false  )

protected

InterpolatedSurvivalProbabilityCurve() [3/4]

InterpolatedSurvivalProbabilityCurve ( const Date &  referenceDate, const DayCounter &  , const std::vector< Handle< Quote > > &  jumps = std::vector< Handle< Quote > >(), const std::vector< Date > &  jumpDates = std::vector< Date >(), const Interpolator &  interpolator = Interpolator(), const bool  allowNegativeRates = false  )

protected

InterpolatedSurvivalProbabilityCurve() [4/4]

InterpolatedSurvivalProbabilityCurve ( Natural  settlementDays, const Calendar &  , const DayCounter &  , const std::vector< Handle< Quote > > &  jumps = std::vector< Handle< Quote > >(), const std::vector< Date > &  jumpDates = std::vector< Date >(), const Interpolator &  interpolator = Interpolator(), const bool  allowNegativeRates = false  )

protected

Member Function Documentation

maxDate()

Date maxDate

override

Definition at line 114 of file interpolatedsurvivalprobabilitycurve.hpp.

                                                                       {
        return dates_.back();
    }

times()

const std::vector< Time > & times

Definition at line 120 of file interpolatedsurvivalprobabilitycurve.hpp.

                                                         {
        return this->times_;
    }

dates()

const std::vector< Date > & dates

Definition at line 126 of file interpolatedsurvivalprobabilitycurve.hpp.

                                                         {
        return dates_;
    }

data()

const std::vector< Real > & data

Definition at line 132 of file interpolatedsurvivalprobabilitycurve.hpp.

                                                        {
        return this->data_;
    }

survivalProbabilities()

const std::vector< Probability > & survivalProbabilities

Definition at line 138 of file interpolatedsurvivalprobabilitycurve.hpp.

                                                                         {
        return this->data_;
    }

nodes()

std::vector< std::pair< Date, Real > > nodes

Definition at line 144 of file interpolatedsurvivalprobabilitycurve.hpp.

                                                         {
        std::vector<std::pair<Date,Real> > results(dates_.size());
        for (Size i=0; i<dates_.size(); ++i)
            results[i] = std::make_pair(dates_[i],this->data_[i]);
        return results;
    }

survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time  ) const

overrideprotected

defaultDensityImpl()

Real defaultDensityImpl ( Time  ) const

overrideprotected

Member Data Documentation

dates_

std::vector<Date> dates_

mutableprotected

Definition at line 106 of file interpolatedsurvivalprobabilitycurve.hpp.

allowNegativeRates_

bool allowNegativeRates_

private

Definition at line 108 of file interpolatedsurvivalprobabilitycurve.hpp.