Hazard-rate term structure. More...
#include <survivalprobabilitystructure.hpp>
Inheritance diagram for SurvivalProbabilityStructure:
Collaboration diagram for SurvivalProbabilityStructure:
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
| 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 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 | |
| Real | defaultDensityImpl (Time) const override |
| instantaneous default density at a given time More... | |
| Protected Member Functions inherited from DefaultProbabilityTermStructure | |
| virtual Probability | survivalProbabilityImpl (Time) const =0 |
| survival probability 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
Hazard-rate term structure.
This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the survivalProbabilityImpl(Time) method in derived classes.
Hazard rates and default densities are calculated from survival probabilities.
Definition at line 42 of file survivalprobabilitystructure.hpp.
Constructor & Destructor Documentation
◆ SurvivalProbabilityStructure() [1/3]
| SurvivalProbabilityStructure | ( | const DayCounter & | dayCounter = DayCounter(), |
| const std::vector< Handle< Quote > > & | jumps = {}, |
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| const std::vector< Date > & | jumpDates = {} |
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| ) |
Definition at line 24 of file survivalprobabilitystructure.cpp.
◆ SurvivalProbabilityStructure() [2/3]
| SurvivalProbabilityStructure | ( | 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 = {}, |
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| const std::vector< Date > & | jumpDates = {} |
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| ) |
Definition at line 30 of file survivalprobabilitystructure.cpp.
◆ SurvivalProbabilityStructure() [3/3]
| SurvivalProbabilityStructure | ( | Natural | settlementDays, |
| const Calendar & | cal, | ||
| const DayCounter & | dayCounter = DayCounter(), |
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| const std::vector< Handle< Quote > > & | jumps = {}, |
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| const std::vector< Date > & | jumpDates = {} |
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| ) |
Definition at line 38 of file survivalprobabilitystructure.cpp.
Member Function Documentation
◆ defaultDensityImpl()
instantaneous default density at a given time
implemented in terms of the survival probability \( S(t) \) as \( p(t) = -\frac{d}{dt} S(t). \)
- Warning:
- This implementation uses numerical differentiation, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
Implements DefaultProbabilityTermStructure.
Definition at line 46 of file survivalprobabilitystructure.cpp.
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