SurvivalProbabilityCurve< Interpolator > Class Template Reference

DefaultProbabilityTermStructure based on interpolation of survival probability quotes. More...

#include <qle/termstructures/survivalprobabilitycurve.hpp>

Inheritance diagram for SurvivalProbabilityCurve< Interpolator >:

Collaboration diagram for SurvivalProbabilityCurve< Interpolator >:

Public Types
enum class	Extrapolation { flatFwd , flatZero }

Public Member Functions
	SurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Handle< Quote > > &quotes, 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 Extrapolation extrpolation=Extrapolation::flatFwd)
TermStructure interface
Date	maxDate () 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
const std::vector< Handle< Quote > > &	quotes () const
std::vector< std::pair< Date, Real > >	nodes () const

Private Member Functions
LazyObject interface
void	performCalculations () const override

DefaultProbabilityTermStructure implementation
std::vector< Date >	dates_
std::vector< Handle< Quote > >	quotes_
Extrapolation	extrapolation_
Probability	survivalProbabilityImpl (Time) const override
Real	defaultDensityImpl (Time t) const override

Observer interface
void	update () override
void	initialize ()

Detailed Description

template<class Interpolator>
class QuantExt::SurvivalProbabilityCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of survival probability quotes.

Definition at line 38 of file survivalprobabilitycurve.hpp.

Member Enumeration Documentation

Extrapolation

enum class Extrapolation

strong

Enumerator
flatFwd
flatZero

Definition at line 42 of file survivalprobabilitycurve.hpp.

{ flatFwd, flatZero };

Constructor & Destructor Documentation

SurvivalProbabilityCurve()

SurvivalProbabilityCurve	(	const std::vector< Date > &	dates,
		const std::vector< Handle< Quote > > &	quotes,
		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 Extrapolation	extrpolation = Extrapolation::flatFwd
	)

Definition at line 139 of file survivalprobabilitycurve.hpp.

    : SurvivalProbabilityStructure(dates.front(), calendar, dayCounter, jumps, jumpDates),
      InterpolatedCurve<T>(std::vector<Time>(), std::vector<Real>(), interpolator), dates_(dates), quotes_(quotes),
      extrapolation_(extrapolation) {
    QL_REQUIRE(dates_.size() >= T::requiredPoints, "not enough input dates given");
    QL_REQUIRE(quotes_.size() == dates_.size(), "dates/data count mismatch");
    for (Size i = 0; i < quotes_.size(); i++)
        registerWith(quotes_[i]);
    initialize();
}

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Member Function Documentation

maxDate()

Date maxDate

override

Definition at line 85 of file survivalprobabilitycurve.hpp.

{ return dates_.back(); }

times()

const std::vector< Time > & times

Definition at line 87 of file survivalprobabilitycurve.hpp.

{ return this->times_; }

dates()

const std::vector< Date > & dates

Definition at line 89 of file survivalprobabilitycurve.hpp.

{ return dates_; }

data()

const std::vector< Real > & data

Definition at line 91 of file survivalprobabilitycurve.hpp.

{ return this->data_; }

survivalProbabilities()

const std::vector< Probability > & survivalProbabilities

Definition at line 93 of file survivalprobabilitycurve.hpp.

                                                                                                                 {
    return this->data_;
}

quotes()

const std::vector< Handle< Quote > > & quotes

(

)

const

nodes()

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

Definition at line 97 of file survivalprobabilitycurve.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;
}

update()

void update

override

Definition at line 155 of file survivalprobabilitycurve.hpp.

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

initialize()

void initialize

private

Definition at line 169 of file survivalprobabilitycurve.hpp.

                                                                {
    QL_REQUIRE(dates_.size() >= T::requiredPoints, "not enough input dates given");
    QL_REQUIRE(quotes_.size() == dates_.size(), "dates/data count mismatch");
 
    this->times_.resize(dates_.size());
    this->data_.resize(dates_.size());
    this->times_[0] = 0.0;
    for (Size i = 1; i < dates_.size(); ++i) {
        QL_REQUIRE(dates_[i] > dates_[i - 1], "invalid date (" << dates_[i] << ", vs " << dates_[i - 1] << ")");
        this->times_[i] = dayCounter().yearFraction(dates_[0], dates_[i]);
        QL_REQUIRE(!close(this->times_[i], this->times_[i - 1]), "two dates correspond to the same time "
                                                                 "under this curve's day count convention");
        // QL_REQUIRE(this->data_[i] > 0.0, "negative probability");
        // QL_REQUIRE(this->data_[i] <= this->data_[i-1],
        //            "negative hazard rate implied by the survival "
        //            "probability " <<
        //            this->data_[i] << " at " << dates_[i] <<
        //            " (t=" << this->times_[i] << ") after the survival "
        //            "probability " <<
        //            this->data_[i-1] << " at " << dates_[i-1] <<
        //            " (t=" << this->times_[i-1] << ")");
    }
}

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performCalculations()

void performCalculations

overrideprivate

Definition at line 160 of file survivalprobabilitycurve.hpp.

                                                                                      {
    for (Size i = 0; i < dates_.size(); ++i)
        this->data_[i] = quotes_[i]->value();
 
    this->interpolation_ =
        this->interpolator_.interpolate(this->times_.begin(), this->times_.end(), this->data_.begin());
    this->interpolation_.update();
}

survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time  t ) const

overrideprivate

Definition at line 106 of file survivalprobabilitycurve.hpp.

                                                                                                {
    calculate();
    if (t <= this->times_.back())
        return this->interpolation_(t, true);
 
    // flat hazard rate extrapolation
    Time tMax = this->times_.back();
    Probability sMax = this->data_.back();
    if (this->extrapolation_ == Extrapolation::flatFwd) {
        Rate hazardMax = -this->interpolation_.derivative(tMax) / sMax;
        return sMax * std::exp(-hazardMax * (t - tMax));
    } else {
        return std::pow(sMax, t / tMax);
    }
}

defaultDensityImpl()

Real defaultDensityImpl ( Time  t ) const

overrideprivate

Definition at line 122 of file survivalprobabilitycurve.hpp.

                                                                                    {
    calculate();
    if (t <= this->times_.back())
        return -this->interpolation_.derivative(t, true);
 
    // flat hazard rate extrapolation
    Time tMax = this->times_.back();
    Probability sMax = this->data_.back();
    if (this->extrapolation_ == Extrapolation::flatFwd) {
        Rate hazardMax = -this->interpolation_.derivative(tMax) / sMax;
        return sMax * hazardMax * std::exp(-hazardMax * (t - tMax));
    } else {
        return -std::log(sMax) / tMax * std::pow(sMax, t / tMax);
    }
}

Member Data Documentation

dates_

std::vector<Date> dates_

mutableprivate

Definition at line 78 of file survivalprobabilitycurve.hpp.

quotes_

std::vector<Handle<Quote> > quotes_

private

Definition at line 79 of file survivalprobabilitycurve.hpp.

extrapolation_

Extrapolation extrapolation_

private

Definition at line 80 of file survivalprobabilitycurve.hpp.