DefaultProbabilityTermStructure based on interpolation of survival probabilities. More...

#include <interpolatedsurvivalprobabilitycurve.hpp>

Inheritance diagram for InterpolatedSurvivalProbabilityCurve< Interpolator >:

Collaboration diagram for InterpolatedSurvivalProbabilityCurve< Interpolator >:

Public Member Functions
	InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

	InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)

	InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, const DayCounter &dayCounter, const Interpolator &interpolator)

TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values More...

Public Member Functions inherited from SurvivalProbabilityStructure
	SurvivalProbabilityStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})

	SurvivalProbabilityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})

	SurvivalProbabilityStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})

Public Member Functions inherited from DefaultProbabilityTermStructure
	DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})

	DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})

	DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})

Probability	survivalProbability (const Date &d, bool extrapolate=false) const

Probability	survivalProbability (Time t, bool extrapolate=false) const

Probability	defaultProbability (const Date &d, bool extrapolate=false) const

Probability	defaultProbability (Time t, bool extrapolate=false) const

Probability	defaultProbability (const Date &, const Date &, bool extrapolate=false) const
	probability of default between two given dates More...

Probability	defaultProbability (Time, Time, bool extrapo=false) const
	probability of default between two given times More...

Real	defaultDensity (const Date &d, bool extrapolate=false) const

Real	defaultDensity (Time t, bool extrapolate=false) const

Rate	hazardRate (const Date &d, bool extrapolate=false) const

Rate	hazardRate (Time t, bool extrapolate=false) const

const std::vector< Date > &	jumpDates () const

const std::vector< Time > &	jumpTimes () const

void	update () override

Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...

	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...

	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~TermStructure () override=default

virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...

Time	timeFromReference (const Date &date) const
	date/time conversion More...

virtual Time	maxTime () const
	the latest time for which the curve can return values More...

virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 More...

virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation More...

virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation More...

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Extrapolator
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

DefaultProbabilityTermStructure implementation
std::vector< Date >	dates_

Probability	survivalProbabilityImpl (Time) const override
	survival probability calculation More...

Real	defaultDensityImpl (Time) const override
	default density calculation More...

void	initialize ()

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

std::vector< std::pair< Date, Real > >	nodes () const

	InterpolatedSurvivalProbabilityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

	InterpolatedSurvivalProbabilityCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

	InterpolatedSurvivalProbabilityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from SurvivalProbabilityStructure
Real	defaultDensityImpl (Time) const override
	instantaneous default density at a given time More...

Protected Member Functions inherited from DefaultProbabilityTermStructure
virtual Real	hazardRateImpl (Time) const
	hazard rate calculation More...

Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...

void	checkRange (Time t, bool extrapolate) const
	time-range check More...

Protected Member Functions inherited from InterpolatedCurve< Interpolator >
	InterpolatedCurve (std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator())

	InterpolatedCurve (std::vector< Time > times, const Interpolator &i=Interpolator())

	InterpolatedCurve (Size n, const Interpolator &i=Interpolator())

	InterpolatedCurve (const Interpolator &i=Interpolator())

	InterpolatedCurve (const InterpolatedCurve &c)

InterpolatedCurve &	operator= (const InterpolatedCurve &c)

	InterpolatedCurve (InterpolatedCurve &&c) noexcept

InterpolatedCurve &	operator= (InterpolatedCurve &&c) noexcept

void	setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)

void	setupInterpolation ()

	~InterpolatedCurve ()=default

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Protected Attributes inherited from InterpolatedCurve< Interpolator >
std::vector< Time >	times_

std::vector< Real >	data_

Interpolation	interpolation_

Interpolator	interpolator_

Date	maxDate_

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedSurvivalProbabilityCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of survival probabilities.

Definition at line 36 of file interpolatedsurvivalprobabilitycurve.hpp.

Constructor & Destructor Documentation

◆ InterpolatedSurvivalProbabilityCurve() [1/6]

InterpolatedSurvivalProbabilityCurve	(	const std::vector< Date > &	dates,
		const std::vector< Probability > &	probabilities,
		const DayCounter &	dayCounter,
		const Calendar &	calendar = `Calendar()`,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	interpolator = `{}`
	)

◆ InterpolatedSurvivalProbabilityCurve() [2/6]

InterpolatedSurvivalProbabilityCurve	(	const std::vector< Date > &	dates,
		const std::vector< Probability > &	probabilities,
		const DayCounter &	dayCounter,
		const Calendar &	calendar,
		const Interpolator &	interpolator
	)

◆ InterpolatedSurvivalProbabilityCurve() [3/6]

InterpolatedSurvivalProbabilityCurve	(	const std::vector< Date > &	dates,
		const std::vector< Probability > &	probabilities,
		const DayCounter &	dayCounter,
		const Interpolator &	interpolator
	)

◆ InterpolatedSurvivalProbabilityCurve() [4/6]

InterpolatedSurvivalProbabilityCurve	(	const DayCounter &	,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	interpolator = `{}`
	)

protected

◆ InterpolatedSurvivalProbabilityCurve() [5/6]

InterpolatedSurvivalProbabilityCurve	(	const Date &	referenceDate,
		const DayCounter &	,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	interpolator = `{}`
	)

protected

◆ InterpolatedSurvivalProbabilityCurve() [6/6]

InterpolatedSurvivalProbabilityCurve	(	Natural	settlementDays,
		const Calendar &	,
		const DayCounter &	,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	interpolator = `{}`
	)