#include <ql/experimental/credit/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 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_

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

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.