SpreadedSurvivalProbabilityTermStructure Class Reference

Spreaded Default Term Structure, the spread is given in terms of loglinearly interpolated survival probabilities. More...

#include <qle/termstructures/spreadedsurvivalprobabilitytermstructure.hpp>

Inheritance diagram for SpreadedSurvivalProbabilityTermStructure:

Collaboration diagram for SpreadedSurvivalProbabilityTermStructure:

Public Types
enum class	Extrapolation { flatFwd , flatZero }

Public Member Functions
	SpreadedSurvivalProbabilityTermStructure (const Handle< DefaultProbabilityTermStructure > &referenceCurve, const std::vector< Time > &times, const std::vector< Handle< Quote > > &spreads, const Extrapolation extrapolation=Extrapolation::flatFwd)
	times should be consistent with reference ts day counter More...

TermStructure interface
Handle< DefaultProbabilityTermStructure >	referenceCurve_
std::vector< Time >	times_
std::vector< Handle< Quote > >	spreads_
std::vector< Real >	data_
QuantLib::ext::shared_ptr< Interpolation >	interpolation_
Extrapolation	extrapolation_
DayCounter	dayCounter () const override
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
std::vector< Time >	times ()
Handle< DefaultProbabilityTermStructure >	referenceCurve () const
void	performCalculations () const override
Probability	survivalProbabilityImpl (Time) const override
void	update () override

Detailed Description

Spreaded Default Term Structure, the spread is given in terms of loglinearly interpolated survival probabilities.

Definition at line 35 of file spreadedsurvivalprobabilitytermstructure.hpp.

Member Enumeration Documentation

Extrapolation

enum class Extrapolation

strong

Enumerator
flatFwd
flatZero

Definition at line 37 of file spreadedsurvivalprobabilitytermstructure.hpp.

{ flatFwd, flatZero };

Constructor & Destructor Documentation

SpreadedSurvivalProbabilityTermStructure()

SpreadedSurvivalProbabilityTermStructure	(	const Handle< DefaultProbabilityTermStructure > &	referenceCurve,
		const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	spreads,
		const Extrapolation	extrapolation = Extrapolation::flatFwd
	)

times should be consistent with reference ts day counter

Definition at line 23 of file spreadedsurvivalprobabilitytermstructure.cpp.

    : SurvivalProbabilityStructure(referenceCurve->dayCounter()), referenceCurve_(referenceCurve), times_(times),
      spreads_(spreads), data_(times.size(), 1.0), extrapolation_(extrapolation) {
    QL_REQUIRE(times_.size() > 1, "at least two times required");
    QL_REQUIRE(times_.size() == spreads_.size(), "size of time and quote vectors do not match");
    QL_REQUIRE(times_[0] == 0.0, "First time must be 0, got " << times_[0]);
    for (Size i = 0; i < spreads_.size(); ++i) {
        registerWith(spreads_[i]);
    }
    interpolation_ = QuantLib::ext::make_shared<LogLinearInterpolation>(times_.begin(), times_.end(), data_.begin());
    interpolation_->enableExtrapolation();
    registerWith(Settings::instance().evaluationDate());
    registerWith(referenceCurve_);
}

Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 71 of file spreadedsurvivalprobabilitytermstructure.cpp.

{ return referenceCurve_->dayCounter(); }

maxDate()

Date maxDate ( ) const

override

Definition at line 73 of file spreadedsurvivalprobabilitytermstructure.cpp.

{ return referenceCurve_->maxDate(); }

maxTime()

Time maxTime ( ) const

override

Definition at line 75 of file spreadedsurvivalprobabilitytermstructure.cpp.

{ return referenceCurve_->maxTime(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 77 of file spreadedsurvivalprobabilitytermstructure.cpp.

{ return referenceCurve_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 79 of file spreadedsurvivalprobabilitytermstructure.cpp.

{ return referenceCurve_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 81 of file spreadedsurvivalprobabilitytermstructure.cpp.

{ return referenceCurve_->settlementDays(); }

times()

std::vector< Time > times

(

)

Definition at line 83 of file spreadedsurvivalprobabilitytermstructure.cpp.

{ return times_; }

referenceCurve()

Handle< DefaultProbabilityTermStructure > referenceCurve

(

)

const

Definition at line 85 of file spreadedsurvivalprobabilitytermstructure.cpp.

                                                                                                       {
    return referenceCurve_;
}

performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 45 of file spreadedsurvivalprobabilitytermstructure.cpp.

                                                                         {
    for (Size i = 0; i < times_.size(); ++i) {
        QL_REQUIRE(!spreads_[i].empty(),
                   "SpreadedSurvivalProbabilityTermStructure: quote at index " << i << " is empty");
        data_[i] = spreads_[i]->value();
        QL_REQUIRE(data_[i] > 0,
                   "SpreadedSurvivalProbabilityTermStructure: invalid value " << data_[i] << " at index " << i);
    }
    interpolation_->update();
}

survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time  t ) const

overrideprivate

Definition at line 56 of file spreadedsurvivalprobabilitytermstructure.cpp.

                                                                                          {
    calculate();
    if (t <= this->times_.back())
        return referenceCurve_->survivalProbability(t) * (*interpolation_)(t, true);
    // flat fwd extrapolation
    Real tMax = this->times_.back();
    Real dMax = this->data_.back();
    if (extrapolation_ == Extrapolation::flatFwd) {
        Real instFwdMax = -(*interpolation_).derivative(tMax) / dMax;
        return referenceCurve_->survivalProbability(t) * dMax * std::exp(-instFwdMax * (t - tMax));
    } else {
        return referenceCurve_->survivalProbability(t) * std::pow(dMax, t / tMax);
    }
}

update()

void update ( )

overrideprivate

Definition at line 40 of file spreadedsurvivalprobabilitytermstructure.cpp.

                                                      {
    LazyObject::update();
    TermStructure::update();
}

Member Data Documentation

referenceCurve_

Handle<DefaultProbabilityTermStructure> referenceCurve_

private

Definition at line 59 of file spreadedsurvivalprobabilitytermstructure.hpp.

times_

std::vector<Time> times_

private

Definition at line 60 of file spreadedsurvivalprobabilitytermstructure.hpp.

spreads_

std::vector<Handle<Quote> > spreads_

private

Definition at line 61 of file spreadedsurvivalprobabilitytermstructure.hpp.

data_

std::vector<Real> data_

mutableprivate

Definition at line 62 of file spreadedsurvivalprobabilitytermstructure.hpp.

interpolation_

QuantLib::ext::shared_ptr<Interpolation> interpolation_

private

Definition at line 63 of file spreadedsurvivalprobabilitytermstructure.hpp.

extrapolation_

Extrapolation extrapolation_

private

Definition at line 64 of file spreadedsurvivalprobabilitytermstructure.hpp.