SurvivalProbability Struct Reference

Survival probability curve traits. More...

#include <qle/termstructures/probabilitytraits.hpp>

Collaboration diagram for SurvivalProbability:

Classes
struct	curve

Public Types
typedef QuantLib::BootstrapHelper< QuantLib::DefaultProbabilityTermStructure >	helper

Static Public Member Functions
static QuantLib::Date	initialDate (const QuantLib::DefaultProbabilityTermStructure *c)
static QuantLib::Real	initialValue (const QuantLib::DefaultProbabilityTermStructure *)
template<class C >
static QuantLib::Real	guess (QuantLib::Size i, const C *c, bool validData, QuantLib::Size)
template<class C >
static QuantLib::Real	minValueAfter (QuantLib::Size i, const C *c, bool validData, QuantLib::Size)
template<class C >
static QuantLib::Real	maxValueAfter (QuantLib::Size i, const C *c, bool validData, QuantLib::Size)
static void	updateGuess (std::vector< QuantLib::Real > &data, QuantLib::Probability p, QuantLib::Size i)
static QuantLib::Size	maxIterations ()

Detailed Description

Survival probability curve traits.

Definition at line 39 of file probabilitytraits.hpp.

Member Typedef Documentation

helper

typedef QuantLib::BootstrapHelper<QuantLib::DefaultProbabilityTermStructure> helper

Definition at line 47 of file probabilitytraits.hpp.

Member Function Documentation

initialDate()

static QuantLib::Date initialDate ( const QuantLib::DefaultProbabilityTermStructure *  c )

static

Definition at line 50 of file probabilitytraits.hpp.

{ return c->referenceDate(); }

initialValue()

static QuantLib::Real initialValue ( const QuantLib::DefaultProbabilityTermStructure *  )

static

Definition at line 53 of file probabilitytraits.hpp.

{ return 1.0; }

guess()

static QuantLib::Real guess ( QuantLib::Size  i, const C *  c, bool  validData, QuantLib::Size    )

static

Definition at line 56 of file probabilitytraits.hpp.

                                                                                                           {
 
        // If have already bootstrapped some points, use the previous point
        if (validData)
            return c->data()[i];
 
        // If haven't already bootstrapped some points, initial guess
        if (i == 1)
            return 1.0 / (1.0 + detail::avgHazardRate * 0.25);
 
        // extrapolate
        Date d = c->dates()[i];
        return c->survivalProbability(d, true);
    }

minValueAfter()

static QuantLib::Real minValueAfter ( QuantLib::Size  i, const C *  c, bool  validData, QuantLib::Size    )

static

Definition at line 73 of file probabilitytraits.hpp.

                                                                                                {
 
        if (validData) {
            return c->data().back() / 2.0;
        }
 
        Time dt = c->times()[i] - c->times()[i - 1];
        return c->data()[i - 1] * std::exp(-detail::maxHazardRate * dt);
    }

maxValueAfter()

static QuantLib::Real maxValueAfter ( QuantLib::Size  i, const C *  c, bool  validData, QuantLib::Size    )

static

Definition at line 84 of file probabilitytraits.hpp.

                                                                                                {
        // survival probability cannot increase
        return c->data()[i - 1];
    }

updateGuess()

static void updateGuess ( std::vector< QuantLib::Real > &  data, QuantLib::Probability  p, QuantLib::Size  i  )

static

Definition at line 90 of file probabilitytraits.hpp.

                                                                                                  {
        data[i] = p;
    }

maxIterations()

static QuantLib::Size maxIterations ( )

static

Definition at line 95 of file probabilitytraits.hpp.

{ return 50; }