Default-density term structure. More...

#include <defaultdensitystructure.hpp>

Inheritance diagram for DefaultDensityStructure:

Collaboration diagram for DefaultDensityStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	DefaultDensityStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})

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

	DefaultDensityStructure (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 Date	maxDate () const =0
	the latest date for which the curve can return values 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...

Protected Member Functions
DefaultProbabilityTermStructure implementation
Probability	survivalProbabilityImpl (Time) const override
	survival probability calculation More...

Protected Member Functions inherited from DefaultProbabilityTermStructure
virtual Real	defaultDensityImpl (Time) const =0
	default density calculation More...

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...

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

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

Default-density term structure.

This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the defaultDensityImpl(Time) method in derived classes.

Survival/default probabilities and hazard rates are calculated from default densities.

Definition at line 43 of file defaultdensitystructure.hpp.

Constructor & Destructor Documentation

◆ DefaultDensityStructure() [1/3]

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

Definition at line 49 of file defaultdensitystructure.cpp.

◆ DefaultDensityStructure() [2/3]

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

Definition at line 55 of file defaultdensitystructure.cpp.

◆ DefaultDensityStructure() [3/3]

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

Definition at line 63 of file defaultdensitystructure.cpp.

Member Function Documentation

◆ survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time t ) const

overrideprotectedvirtual

survival probability calculation

implemented in terms of the default density \( p(t) \) as

\[ S(t) = 1 - \int_0^t p(\tau) d\tau. \]

Warning:: This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.

Implements DefaultProbabilityTermStructure.

Reimplemented in InterpolatedDefaultDensityCurve< Interpolator >.

Definition at line 71 of file defaultdensitystructure.cpp.

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Public Member Functions

Protected Member Functions