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Public Member Functions | List of all members
OneFactorAffineSurvivalStructure Class Reference

#include <onefactoraffinesurvival.hpp>

+ Inheritance diagram for OneFactorAffineSurvivalStructure:
+ Collaboration diagram for OneFactorAffineSurvivalStructure:

Public Member Functions

 OneFactorAffineSurvivalStructure (ext::shared_ptr< OneFactorAffineModel > model, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
 
 OneFactorAffineSurvivalStructure (ext::shared_ptr< OneFactorAffineModel > model, const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
 
 OneFactorAffineSurvivalStructure (ext::shared_ptr< OneFactorAffineModel > model, Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
 
TermStructure interface
Date maxDate () const override
 the latest date for which the curve can return values More...
 
Probability conditionalSurvivalProbability (const Date &dFwd, const Date &dTgt, Real yVal, bool extrapolate=false) const
 
Probability conditionalSurvivalProbability (Time tFwd, Time tgt, Real yVal, bool extrapolate=false) const
 
Rate hazardRate (Time t, bool extrapolate=false) const
 
Rate hazardRate (const Date &d, bool extrapolate=false) const
 
Rate hazardRate (Time t, bool extrapolate=false) const
 
- Public Member Functions inherited from HazardRateStructure
 HazardRateStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
 
 HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
 
 HazardRateStructure (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 DatereferenceDate () 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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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

ext::shared_ptr< OneFactorAffineModelmodel_
 
Probability survivalProbabilityImpl (Time) const override
 survival probability calculation More...
 
Real defaultDensityImpl (Time) const override
 default density calculation More...
 
virtual Probability conditionalSurvivalProbabilityImpl (Time tFwd, Time tgt, Real yVal) const
 
Real hazardRateImpl (Time) const override
 hazard rate calculation More...
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from HazardRateStructure
Real hazardRateImpl (Time) const override
 hazard rate calculation More...
 
Probability survivalProbabilityImpl (Time) const override
 
Real defaultDensityImpl (Time) const override
 default density calculation More...
 
- Protected Member Functions inherited from DefaultProbabilityTermStructure
- 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 Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 

Detailed Description

Survival probability term structure based on a one factor stochastic model of the default intensity.

Definition at line 41 of file onefactoraffinesurvival.hpp.

Constructor & Destructor Documentation

◆ OneFactorAffineSurvivalStructure() [1/3]

OneFactorAffineSurvivalStructure ( ext::shared_ptr< OneFactorAffineModel model,
const DayCounter dayCounter = DayCounter(),
const std::vector< Handle< Quote > > &  jumps = std::vector<Handle<Quote> >(),
const std::vector< Date > &  jumpDates = std::vector<Date>() 
)
explicit

Definition at line 45 of file onefactoraffinesurvival.hpp.

◆ OneFactorAffineSurvivalStructure() [2/3]

OneFactorAffineSurvivalStructure ( ext::shared_ptr< OneFactorAffineModel model,
const Date referenceDate,
const Calendar cal = Calendar(),
const DayCounter dayCounter = DayCounter(),
const std::vector< Handle< Quote > > &  jumps = std::vector<Handle<Quote> >(),
const std::vector< Date > &  jumpDates = std::vector<Date>() 
)

Definition at line 52 of file onefactoraffinesurvival.hpp.

◆ OneFactorAffineSurvivalStructure() [3/3]

OneFactorAffineSurvivalStructure ( ext::shared_ptr< OneFactorAffineModel model,
Natural  settlementDays,
const Calendar calendar,
const DayCounter dayCounter = DayCounter(),
const std::vector< Handle< Quote > > &  jumps = std::vector<Handle<Quote> >(),
const std::vector< Date > &  jumpDates = std::vector<Date>() 
)

Definition at line 62 of file onefactoraffinesurvival.hpp.

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 75 of file onefactoraffinesurvival.hpp.

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◆ conditionalSurvivalProbability() [1/2]

Probability conditionalSurvivalProbability ( const Date dFwd,
const Date dTgt,
Real  yVal,
bool  extrapolate = false 
) const

Returns the probability at a future time dTgt, conditional to survival at a prior time dFwd and to the realization of a particular hazard rate value at dFwd.

Parameters
dFwdTime of the forward survival calculation and HR realization.
dTgtTarget time of survival probability.
yValRealized value of the HR at time dFwd.
extrapolateAllow curve extrapolation.
Returns
Survival probability.

Definition at line 101 of file onefactoraffinesurvival.hpp.

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◆ conditionalSurvivalProbability() [2/2]

Probability conditionalSurvivalProbability ( Time  tFwd,
Time  tgt,
Real  yVal,
bool  extrapolate = false 
) const

Definition at line 108 of file onefactoraffinesurvival.hpp.

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◆ hazardRate() [1/3]

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

Definition at line 125 of file onefactoraffinesurvival.hpp.

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◆ survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time  ) const
overrideprotectedvirtual

survival probability calculation

Implements DefaultProbabilityTermStructure.

Definition at line 149 of file onefactoraffinesurvival.hpp.

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◆ defaultDensityImpl()

Real defaultDensityImpl ( Time  ) const
overrideprotectedvirtual

default density calculation

Implements DefaultProbabilityTermStructure.

Definition at line 166 of file onefactoraffinesurvival.hpp.

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◆ conditionalSurvivalProbabilityImpl()

Probability conditionalSurvivalProbabilityImpl ( Time  tFwd,
Time  tgt,
Real  yVal 
) const
protectedvirtual

Reimplemented in InterpolatedAffineHazardRateCurve< Interpolator >.

Definition at line 160 of file onefactoraffinesurvival.hpp.

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◆ hazardRateImpl()

Real hazardRateImpl ( Time  t) const
overrideprotectedvirtual

hazard rate calculation

Reimplemented from DefaultProbabilityTermStructure.

Definition at line 140 of file onefactoraffinesurvival.hpp.

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◆ hazardRate() [2/3]

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

Definition at line 130 of file defaulttermstructure.hpp.

◆ hazardRate() [3/3]

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

Definition at line 132 of file defaulttermstructure.hpp.

Member Data Documentation

◆ model_

ext::shared_ptr<OneFactorAffineModel> model_
protected

Definition at line 145 of file onefactoraffinesurvival.hpp.