DefaultProbabilityTermStructure based on interpolation of hazard rates. More...

#include <interpolatedhazardratecurve.hpp>

Inheritance diagram for InterpolatedHazardRateCurve< Interpolator >:

Collaboration diagram for InterpolatedHazardRateCurve< Interpolator >:

Public Member Functions
	InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

	InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)

	InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Interpolator &interpolator)

TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values More...

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
std::vector< Date >	dates_

Real	hazardRateImpl (Time) const override
	hazard rate calculation More...

Probability	survivalProbabilityImpl (Time) const override

void	initialize ()

other inspectors
const std::vector< Time > &	times () const

const std::vector< Date > &	dates () const

const std::vector< Real > &	data () const

const std::vector< Rate > &	hazardRates () const

std::vector< std::pair< Date, Real > >	nodes () const

	InterpolatedHazardRateCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

	InterpolatedHazardRateCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

	InterpolatedHazardRateCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

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

Protected Member Functions inherited from HazardRateStructure
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 Member Functions inherited from InterpolatedCurve< Interpolator >
	InterpolatedCurve (std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator())

	InterpolatedCurve (std::vector< Time > times, const Interpolator &i=Interpolator())

	InterpolatedCurve (Size n, const Interpolator &i=Interpolator())

	InterpolatedCurve (const Interpolator &i=Interpolator())

	InterpolatedCurve (const InterpolatedCurve &c)

InterpolatedCurve &	operator= (const InterpolatedCurve &c)

	InterpolatedCurve (InterpolatedCurve &&c) noexcept

InterpolatedCurve &	operator= (InterpolatedCurve &&c) noexcept

void	setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)

void	setupInterpolation ()

	~InterpolatedCurve ()=default

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Protected Attributes inherited from InterpolatedCurve< Interpolator >
std::vector< Time >	times_

std::vector< Real >	data_

Interpolation	interpolation_

Interpolator	interpolator_

Date	maxDate_

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedHazardRateCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of hazard rates.

Examples: CVAIRS.cpp.

Definition at line 39 of file interpolatedhazardratecurve.hpp.

Constructor & Destructor Documentation

◆ InterpolatedHazardRateCurve() [1/6]

InterpolatedHazardRateCurve	(	const std::vector< Date > &	dates,
		const std::vector< Rate > &	hazardRates,
		const DayCounter &	dayCounter,
		const Calendar &	cal = `Calendar()`,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	interpolator = `{}`
	)

◆ InterpolatedHazardRateCurve() [2/6]

InterpolatedHazardRateCurve	(	const std::vector< Date > &	dates,
		const std::vector< Rate > &	hazardRates,
		const DayCounter &	dayCounter,
		const Calendar &	calendar,
		const Interpolator &	interpolator
	)

◆ InterpolatedHazardRateCurve() [3/6]

InterpolatedHazardRateCurve	(	const std::vector< Date > &	dates,
		const std::vector< Rate > &	hazardRates,
		const DayCounter &	dayCounter,
		const Interpolator &	interpolator
	)

◆ InterpolatedHazardRateCurve() [4/6]

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

protected

◆ InterpolatedHazardRateCurve() [5/6]

InterpolatedHazardRateCurve	(	const Date &	referenceDate,
		const DayCounter &	,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	interpolator = `{}`
	)

protected

◆ InterpolatedHazardRateCurve() [6/6]

InterpolatedHazardRateCurve	(	Natural	settlementDays,
		const Calendar &	,
		const DayCounter &	,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	interpolator = `{}`
	)

protected

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 107 of file interpolatedhazardratecurve.hpp.

◆ times()

const std::vector< Time > & times

Definition at line 113 of file interpolatedhazardratecurve.hpp.

◆ dates()

const std::vector< Date > & dates

Definition at line 119 of file interpolatedhazardratecurve.hpp.

◆ data()

const std::vector< Real > & data

Definition at line 125 of file interpolatedhazardratecurve.hpp.

◆ hazardRates()

const std::vector< Rate > & hazardRates

Definition at line 131 of file interpolatedhazardratecurve.hpp.

◆ nodes()

std::vector< std::pair< Date, Real > > nodes

Definition at line 137 of file interpolatedhazardratecurve.hpp.

◆ hazardRateImpl()

Real hazardRateImpl ( Time ) const

overrideprotectedvirtual

hazard rate calculation

Reimplemented from HazardRateStructure.

◆ survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time t ) const

overrideprotectedvirtual

survival probability calculation implemented in terms of the hazard rate \( h(t) \) as

\[ S(t) = \exp\left( - \int_0^t h(\tau) d\tau \right). \]

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.

Reimplemented from HazardRateStructure.

◆ initialize()

void initialize

private

Definition at line 250 of file interpolatedhazardratecurve.hpp.

Member Data Documentation

◆ dates_

std::vector<Date> dates_

mutableprotected

Definition at line 98 of file interpolatedhazardratecurve.hpp.

Public Member Functions

DefaultProbabilityTermStructure implementation

other inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ InterpolatedHazardRateCurve() [1/6]

◆ InterpolatedHazardRateCurve() [2/6]

◆ InterpolatedHazardRateCurve() [3/6]

◆ InterpolatedHazardRateCurve() [4/6]

◆ InterpolatedHazardRateCurve() [5/6]

◆ InterpolatedHazardRateCurve() [6/6]

Member Function Documentation

◆ maxDate()

◆ times()

◆ dates()

◆ data()

◆ hazardRates()

◆ nodes()

◆ hazardRateImpl()

◆ survivalProbabilityImpl()

◆ initialize()

Member Data Documentation

◆ dates_