Default probability term structure. More...

#include <defaulttermstructure.hpp>

Inheritance diagram for DefaultProbabilityTermStructure:

Collaboration diagram for DefaultProbabilityTermStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	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={})

Survival probabilities
These methods return the survival probability from the reference date until a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.
Probability	survivalProbability (const Date &d, bool extrapolate=false) const

Probability	survivalProbability (Time t, bool extrapolate=false) const

Default probabilities
These methods return the default probability from the reference date until a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.
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...

Default densities
These methods return the default density at a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.
Real	defaultDensity (const Date &d, bool extrapolate=false) const

Real	defaultDensity (Time t, bool extrapolate=false) const

Hazard rates
These methods returns the hazard rate at a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date. Hazard rates are defined with annual frequency and continuous compounding.
Rate	hazardRate (const Date &d, bool extrapolate=false) const

Rate	hazardRate (Time t, bool extrapolate=false) const

Jump inspectors
const std::vector< Date > &	jumpDates () const

const std::vector< Time > &	jumpTimes () const

Observer interface
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...

Calculations
The first two methods must be implemented in derived classes to perform the actual calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. The third method has a default implementation which can be overriden with a more efficient implementation in derived classes.
std::vector< Handle< Quote > >	jumps_

std::vector< Date >	jumpDates_

std::vector< Time >	jumpTimes_

Size	nJumps_

Date	latestReference_

virtual Probability	survivalProbabilityImpl (Time) const =0
	survival probability calculation More...

virtual Real	defaultDensityImpl (Time) const =0
	default density calculation More...

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

void	setJumps ()

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

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

Default probability term structure.

This abstract class defines the interface of concrete credit structures which will be derived from this one.

Definition at line 41 of file defaulttermstructure.hpp.

Constructor & Destructor Documentation

◆ DefaultProbabilityTermStructure() [1/3]

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

Definition at line 29 of file defaulttermstructure.cpp.

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◆ DefaultProbabilityTermStructure() [2/3]

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

Definition at line 38 of file defaulttermstructure.cpp.

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◆ DefaultProbabilityTermStructure() [3/3]

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

Definition at line 51 of file defaulttermstructure.cpp.

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Member Function Documentation

◆ survivalProbability() [1/2]

Probability survivalProbability	(	const Date &	d,
		bool	extrapolate = `false`
	)		const

Definition at line 178 of file defaulttermstructure.hpp.

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◆ survivalProbability() [2/2]

Probability survivalProbability	(	Time	t,
		bool	extrapolate = `false`
	)		const

The same day-counting rule used by the term structure should be used for calculating the passed time t.

Definition at line 81 of file defaulttermstructure.cpp.

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◆ defaultProbability() [1/4]

Probability defaultProbability	(	const Date &	d,
		bool	extrapolate = `false`
	)		const

Definition at line 185 of file defaulttermstructure.hpp.

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◆ defaultProbability() [2/4]

Probability defaultProbability	(	Time	t,
		bool	extrapolate = `false`
	)		const

The same day-counting rule used by the term structure should be used for calculating the passed time t.

Definition at line 192 of file defaulttermstructure.hpp.

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◆ defaultProbability() [3/4]

Probability defaultProbability	(	const Date &	d1,
		const Date &	d2,
		bool	extrapolate = `false`
	)		const

probability of default between two given dates

Definition at line 103 of file defaulttermstructure.cpp.

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◆ defaultProbability() [4/4]

Probability defaultProbability	(	Time	t1,
		Time	t2,
		bool	extrapo = `false`
	)		const

probability of default between two given times

Definition at line 116 of file defaulttermstructure.cpp.

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◆ defaultDensity() [1/2]

Real defaultDensity	(	const Date &	d,
		bool	extrapolate = `false`
	)		const

Definition at line 199 of file defaulttermstructure.hpp.

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◆ defaultDensity() [2/2]

Real defaultDensity	(	Time	t,
		bool	extrapolate = `false`
	)		const

Definition at line 206 of file defaulttermstructure.hpp.

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◆ hazardRate() [1/2]

Rate hazardRate	(	const Date &	d,
		bool	extrapolate = `false`
	)		const

Definition at line 214 of file defaulttermstructure.hpp.

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◆ hazardRate() [2/2]

Rate hazardRate	(	Time	t,
		bool	extrapolate = `false`
	)		const

Definition at line 225 of file defaulttermstructure.hpp.

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◆ jumpDates()

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

Definition at line 233 of file defaulttermstructure.hpp.

◆ jumpTimes()

const std::vector< Time > & jumpTimes ( ) const

Definition at line 239 of file defaulttermstructure.hpp.

◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from TermStructure.

Definition at line 243 of file defaulttermstructure.hpp.

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◆ survivalProbabilityImpl()

virtual Probability survivalProbabilityImpl ( Time ) const

protectedpure virtual

survival probability calculation

Implemented in InterpolatedAffineHazardRateCurve< Interpolator >, OneFactorAffineSurvivalStructure, DefaultDensityStructure, FlatHazardRate, HazardRateStructure, InterpolatedDefaultDensityCurve< Interpolator >, InterpolatedHazardRateCurve< Interpolator >, and InterpolatedSurvivalProbabilityCurve< Interpolator >.

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◆ defaultDensityImpl()

virtual Real defaultDensityImpl ( Time ) const

protectedpure virtual

default density calculation

Implemented in OneFactorAffineSurvivalStructure, HazardRateStructure, InterpolatedDefaultDensityCurve< Interpolator >, InterpolatedSurvivalProbabilityCurve< Interpolator >, and SurvivalProbabilityStructure.

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◆ hazardRateImpl()

Rate hazardRateImpl ( Time t ) const

protectedvirtual

hazard rate calculation

Reimplemented in FactorSpreadedHazardRateCurve, SpreadedHazardRateCurve, InterpolatedAffineHazardRateCurve< Interpolator >, OneFactorAffineSurvivalStructure, FlatHazardRate, HazardRateStructure, and InterpolatedHazardRateCurve< Interpolator >.

Definition at line 220 of file defaulttermstructure.hpp.

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◆ setJumps()

void setJumps ( )

private

Definition at line 64 of file defaulttermstructure.cpp.

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Member Data Documentation

◆ jumps_

std::vector<Handle<Quote> > jumps_

private

Definition at line 168 of file defaulttermstructure.hpp.

◆ jumpDates_

std::vector<Date> jumpDates_

private

Definition at line 169 of file defaulttermstructure.hpp.

◆ jumpTimes_

std::vector<Time> jumpTimes_

private

Definition at line 170 of file defaulttermstructure.hpp.

◆ nJumps_

Size nJumps_

private

Definition at line 171 of file defaulttermstructure.hpp.

◆ latestReference_

Date latestReference_

private

Definition at line 172 of file defaulttermstructure.hpp.

Public Member Functions

Calculations

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ DefaultProbabilityTermStructure() [1/3]

◆ DefaultProbabilityTermStructure() [2/3]

◆ DefaultProbabilityTermStructure() [3/3]

Member Function Documentation

◆ survivalProbability() [1/2]

◆ survivalProbability() [2/2]

◆ defaultProbability() [1/4]

◆ defaultProbability() [2/4]

◆ defaultProbability() [3/4]

◆ defaultProbability() [4/4]

◆ defaultDensity() [1/2]

◆ defaultDensity() [2/2]

◆ hazardRate() [1/2]

◆ hazardRate() [2/2]

◆ jumpDates()

◆ jumpTimes()

◆ update()

◆ survivalProbabilityImpl()

◆ defaultDensityImpl()

◆ hazardRateImpl()

◆ setJumps()

Member Data Documentation

◆ jumps_

◆ jumpDates_

◆ jumpTimes_

◆ nJumps_

◆ latestReference_