37 const Real arg = (x+1.0)*T/2.0;
43 t_remapper<F> remap_t(
const F&
f,
Time T) {
44 return t_remapper<F>(
f,
T);
52 const std::vector<Date>& jumpDates)
60 const std::vector<Date>& jumpDates)
68 const std::vector<Date>& jumpDates)
77 return std::max<Real>(P, 0.0);
DefaultDensityStructure(const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
Probability survivalProbabilityImpl(Time) const override
survival probability calculation
Default probability term structure.
virtual Real defaultDensityImpl(Time) const =0
default density calculation
Gauss-Chebyshev integration.
Shared handle to an observable.
default-density term structure
Integral of a 1-dimensional function using the Gauss quadratures.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Probability
probability