Lgm Implied Default Term Structure. More...

#include <qle/models/lgmimplieddefaulttermstructure.hpp>

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Public Member Functions
	LgmImpliedDefaultTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, const Size index, const Size currency, 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 z, const Real y)

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

void	move (const Time t, const Real z, const Real y)

void	update () override

Protected Member Functions
Probability	survivalProbabilityImpl (Time) const override

Protected Attributes
const QuantLib::ext::shared_ptr< CrossAssetModel >	model_

const Size	index_

const Size	currency_

const bool	purelyTimeBased_

Date	referenceDate_

Real	relativeTime_

Real	z_

Real	y_

Detailed Description

Lgm Implied Default Term Structure.

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 46 of file lgmimplieddefaulttermstructure.hpp.

Constructor & Destructor Documentation

◆ LgmImpliedDefaultTermStructure()

LgmImpliedDefaultTermStructure	(	const QuantLib::ext::shared_ptr< CrossAssetModel > &	model,
		const Size	index,
		const Size	currency,
		const DayCounter &	dc = `DayCounter()`,
		const bool	purelyTimeBased = `false`
	)

Definition at line 23 of file lgmimplieddefaulttermstructure.cpp.

    : SurvivalProbabilityStructure(dc == DayCounter() ? model->irlgm1f(0)->termStructure()->dayCounter() : dc),
      model_(model), index_(index), currency_(currency), purelyTimeBased_(purelyTimeBased),
      referenceDate_(purelyTimeBased ? Null<Date>() : model_->irlgm1f(0)->termStructure()->referenceDate()), z_(0.0),
      y_(0.0) {
    registerWith(model_);
    update();
}

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Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 77 of file lgmimplieddefaulttermstructure.hpp.

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

◆ maxTime()

Time maxTime ( ) const

override

Definition at line 83 of file lgmimplieddefaulttermstructure.hpp.

                                                          {
    // see maxDate
    return QL_MAX_REAL;
}

◆ referenceDate() [1/2]

const Date & referenceDate ( ) const

override

Definition at line 88 of file lgmimplieddefaulttermstructure.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 94 of file lgmimplieddefaulttermstructure.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 101 of file lgmimplieddefaulttermstructure.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	z,
		const Real	y
	)

Definition at line 107 of file lgmimplieddefaulttermstructure.hpp.

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◆ move() [1/2]

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

Definition at line 112 of file lgmimplieddefaulttermstructure.hpp.

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

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◆ move() [2/2]

void move	(	const Time	t,
		const Real	z,
		const Real	y
	)

Definition at line 117 of file lgmimplieddefaulttermstructure.hpp.

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

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◆ update()

void update ( )

override

Definition at line 122 of file lgmimplieddefaulttermstructure.hpp.

                                                   {
    if (!purelyTimeBased_) {
        relativeTime_ = dayCounter().yearFraction(model_->irlgm1f(0)->termStructure()->referenceDate(), referenceDate_);
    }
    notifyObservers();
}

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◆ survivalProbabilityImpl()

Real survivalProbabilityImpl ( Time t ) const

overrideprotected

Definition at line 129 of file lgmimplieddefaulttermstructure.hpp.

                                                                                {
    QL_REQUIRE(t >= 0.0, "negative time (" << t << ") given");
    return model_->crlgm1fS(index_, currency_, relativeTime_, relativeTime_ + t, z_, y_).second;
}