QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <onefactoraffinesurvival.hpp>
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 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 | |
ext::shared_ptr< OneFactorAffineModel > | model_ |
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_ |
Survival probability term structure based on a one factor stochastic model of the default intensity.
Definition at line 41 of file onefactoraffinesurvival.hpp.
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explicit |
Definition at line 45 of file onefactoraffinesurvival.hpp.
OneFactorAffineSurvivalStructure | ( | ext::shared_ptr< OneFactorAffineModel > | model, |
const Date & | referenceDate, | ||
const Calendar & | cal = Calendar() , |
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const DayCounter & | dayCounter = DayCounter() , |
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const std::vector< Handle< Quote > > & | jumps = std::vector<Handle<Quote> >() , |
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const std::vector< Date > & | jumpDates = std::vector<Date>() |
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) |
Definition at line 52 of file onefactoraffinesurvival.hpp.
OneFactorAffineSurvivalStructure | ( | ext::shared_ptr< OneFactorAffineModel > | model, |
Natural | settlementDays, | ||
const Calendar & | calendar, | ||
const DayCounter & | dayCounter = DayCounter() , |
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const std::vector< Handle< Quote > > & | jumps = std::vector<Handle<Quote> >() , |
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const std::vector< Date > & | jumpDates = std::vector<Date>() |
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) |
Definition at line 62 of file onefactoraffinesurvival.hpp.
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overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
Definition at line 75 of file onefactoraffinesurvival.hpp.
Probability conditionalSurvivalProbability | ( | const Date & | dFwd, |
const Date & | dTgt, | ||
Real | yVal, | ||
bool | extrapolate = false |
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) | 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.
dFwd | Time of the forward survival calculation and HR realization. |
dTgt | Target time of survival probability. |
yVal | Realized value of the HR at time dFwd. |
extrapolate | Allow curve extrapolation. |
Definition at line 101 of file onefactoraffinesurvival.hpp.
Probability conditionalSurvivalProbability | ( | Time | tFwd, |
Time | tgt, | ||
Real | yVal, | ||
bool | extrapolate = false |
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) | const |
Definition at line 108 of file onefactoraffinesurvival.hpp.
Definition at line 125 of file onefactoraffinesurvival.hpp.
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overrideprotectedvirtual |
survival probability calculation
Implements DefaultProbabilityTermStructure.
Definition at line 149 of file onefactoraffinesurvival.hpp.
default density calculation
Implements DefaultProbabilityTermStructure.
Definition at line 166 of file onefactoraffinesurvival.hpp.
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protectedvirtual |
Reimplemented in InterpolatedAffineHazardRateCurve< Interpolator >.
Definition at line 160 of file onefactoraffinesurvival.hpp.
hazard rate calculation
Reimplemented from DefaultProbabilityTermStructure.
Definition at line 140 of file onefactoraffinesurvival.hpp.
Definition at line 130 of file defaulttermstructure.hpp.
Definition at line 132 of file defaulttermstructure.hpp.
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protected |
Definition at line 145 of file onefactoraffinesurvival.hpp.