TermInterpolatedDefaultCurve Class Reference

#include <qle/termstructures/terminterpolateddefaultcurve.hpp>

Inheritance diagram for TermInterpolatedDefaultCurve:

Collaboration diagram for TermInterpolatedDefaultCurve:

Public Member Functions
	TermInterpolatedDefaultCurve (const Handle< DefaultProbabilityTermStructure > &c1, const Handle< DefaultProbabilityTermStructure > &c2, const Real alpha)
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
Probability	survivalProbabilityImpl (Time t) const override

Private Attributes
Handle< DefaultProbabilityTermStructure >	c1_
Handle< DefaultProbabilityTermStructure >	c2_
Real	alpha_

Detailed Description

Definition at line 30 of file terminterpolateddefaultcurve.hpp.

Constructor & Destructor Documentation

TermInterpolatedDefaultCurve()

TermInterpolatedDefaultCurve	(	const Handle< DefaultProbabilityTermStructure > &	c1,
		const Handle< DefaultProbabilityTermStructure > &	c2,
		const Real	alpha
	)

Definition at line 32 of file terminterpolateddefaultcurve.hpp.

        : SurvivalProbabilityStructure(c1->dayCounter()), c1_(c1), c2_(c2), alpha_(alpha) {
        registerWith(c1_);
        registerWith(c2_);
    }

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 38 of file terminterpolateddefaultcurve.hpp.

{ return std::min(c1_->maxDate(), c2_->maxDate()); }

maxTime()

Time maxTime ( ) const

override

Definition at line 39 of file terminterpolateddefaultcurve.hpp.

{ return std::min(c1_->maxTime(), c2_->maxTime()); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 40 of file terminterpolateddefaultcurve.hpp.

{ return c1_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 41 of file terminterpolateddefaultcurve.hpp.

{ return c1_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 42 of file terminterpolateddefaultcurve.hpp.

{ return c1_->settlementDays(); }

survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time  t ) const

override

Definition at line 43 of file terminterpolateddefaultcurve.hpp.

                                                               {
        return std::pow(c1_->survivalProbability(t), alpha_) * std::pow(c2_->survivalProbability(t), 1.0 - alpha_);
    }

Member Data Documentation

c1_

Handle<DefaultProbabilityTermStructure> c1_

private

Definition at line 48 of file terminterpolateddefaultcurve.hpp.

c2_

Handle<DefaultProbabilityTermStructure> c2_

private

Definition at line 48 of file terminterpolateddefaultcurve.hpp.

alpha_

Real alpha_

private

Definition at line 49 of file terminterpolateddefaultcurve.hpp.