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| InterpolatedAffineHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const ext::shared_ptr< OneFactorAffineModel > &model, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) |
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| InterpolatedAffineHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const ext::shared_ptr< OneFactorAffineModel > &model, const Calendar &calendar, const Interpolator &interpolator) |
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| InterpolatedAffineHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const ext::shared_ptr< OneFactorAffineModel > &model, const Interpolator &interpolator) |
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Date | maxDate () const override |
| the latest date for which the curve can return values More...
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| OneFactorAffineSurvivalStructure (ext::shared_ptr< OneFactorAffineModel > model, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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| OneFactorAffineSurvivalStructure (ext::shared_ptr< OneFactorAffineModel > model, const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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| OneFactorAffineSurvivalStructure (ext::shared_ptr< OneFactorAffineModel > model, Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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Date | maxDate () const override |
| the latest date for which the curve can return values More...
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Probability | conditionalSurvivalProbability (const Date &dFwd, const Date &dTgt, Real yVal, bool extrapolate=false) const |
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Probability | conditionalSurvivalProbability (Time tFwd, Time tgt, Real yVal, bool extrapolate=false) const |
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Rate | hazardRate (Time t, bool extrapolate=false) const |
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Rate | hazardRate (const Date &d, bool extrapolate=false) const |
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Rate | hazardRate (Time t, bool extrapolate=false) const |
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| HazardRateStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) |
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| HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) |
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| HazardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) |
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| DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={}) |
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| DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={}) |
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| DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={}) |
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Probability | survivalProbability (const Date &d, bool extrapolate=false) const |
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Probability | survivalProbability (Time t, bool extrapolate=false) const |
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Probability | defaultProbability (const Date &d, bool extrapolate=false) const |
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Probability | defaultProbability (Time t, bool extrapolate=false) const |
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Probability | defaultProbability (const Date &, const Date &, bool extrapolate=false) const |
| probability of default between two given dates More...
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Probability | defaultProbability (Time, Time, bool extrapo=false) const |
| probability of default between two given times More...
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Real | defaultDensity (const Date &d, bool extrapolate=false) const |
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Real | defaultDensity (Time t, bool extrapolate=false) const |
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Rate | hazardRate (const Date &d, bool extrapolate=false) const |
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Rate | hazardRate (Time t, bool extrapolate=false) const |
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const std::vector< Date > & | jumpDates () const |
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const std::vector< Time > & | jumpTimes () const |
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void | update () override |
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| TermStructure (DayCounter dc=DayCounter()) |
| default constructor More...
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| TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter()) |
| initialize with a fixed reference date More...
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| TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter()) |
| calculate the reference date based on the global evaluation date More...
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| ~TermStructure () override=default |
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virtual DayCounter | dayCounter () const |
| the day counter used for date/time conversion More...
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Time | timeFromReference (const Date &date) const |
| date/time conversion More...
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virtual Time | maxTime () const |
| the latest time for which the curve can return values More...
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virtual const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0 More...
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virtual Calendar | calendar () const |
| the calendar used for reference and/or option date calculation More...
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virtual Natural | settlementDays () const |
| the settlementDays used for reference date calculation More...
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| Observer ()=default |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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virtual | ~Observer () |
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std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
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void | registerWithObservables (const ext::shared_ptr< Observer > &) |
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Size | unregisterWith (const ext::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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virtual void | update ()=0 |
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virtual void | deepUpdate () |
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| Observable () |
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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| Observable (Observable &&)=delete |
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Observable & | operator= (Observable &&)=delete |
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virtual | ~Observable ()=default |
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void | notifyObservers () |
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const std::vector< Time > & | times () const |
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const std::vector< Date > & | dates () const |
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const std::vector< Real > & | data () const |
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const std::vector< Rate > & | hazardRates () const |
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std::vector< std::pair< Date, Real > > | nodes () const |
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| InterpolatedAffineHazardRateCurve (const DayCounter &, const ext::shared_ptr< OneFactorAffineModel > &model, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) |
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| InterpolatedAffineHazardRateCurve (const Date &referenceDate, const DayCounter &, const ext::shared_ptr< OneFactorAffineModel > &model, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) |
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| InterpolatedAffineHazardRateCurve (Natural settlementDays, const Calendar &, const DayCounter &, const ext::shared_ptr< OneFactorAffineModel > &model, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator()) |
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template<class Interpolator>
class QuantLib::InterpolatedAffineHazardRateCurve< Interpolator >
DefaultProbabilityTermStructure based on interpolation of a deterministic hazard rate component plus a stochastic one factor rate.
Definition at line 61 of file interpolatedaffinehazardratecurve.hpp.