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InterpolatedAffineHazardRateCurve< Interpolator > Class Template Reference

#include <ql/experimental/credit/interpolatedaffinehazardratecurve.hpp>

+ Inheritance diagram for InterpolatedAffineHazardRateCurve< Interpolator >:
+ Collaboration diagram for InterpolatedAffineHazardRateCurve< Interpolator >:

Public Member Functions

 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())
 
 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)
 
 InterpolatedAffineHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const ext::shared_ptr< OneFactorAffineModel > &model, 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 OneFactorAffineSurvivalStructure
 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 >())
 
 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 >())
 
 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 >())
 
Date maxDate () const override
 the latest date for which the curve can return values More...
 
Probability conditionalSurvivalProbability (const Date &dFwd, const Date &dTgt, Real yVal, bool extrapolate=false) const
 
Probability conditionalSurvivalProbability (Time tFwd, Time tgt, Real yVal, bool extrapolate=false) const
 
Rate hazardRate (Time t, bool extrapolate=false) const
 
Rate hazardRate (const Date &d, bool extrapolate=false) const
 
Rate hazardRate (Time t, bool extrapolate=false) const
 
- 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 DatereferenceDate () 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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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< Datedates_
 
Rate hazardRate (const Date &d, bool extrapolate=false) const
 
Rate hazardRate (Time t, bool extrapolate=false) const
 
Real hazardRateImpl (Time) const override
 Returns the deterministic hazard rate component. More...
 
Probability survivalProbabilityImpl (Time) const override
 survival probability calculation More...
 
Probability conditionalSurvivalProbabilityImpl (Time tFwd, Time tTarget, Real yVal) 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
 
 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())
 
 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())
 
 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())
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from OneFactorAffineSurvivalStructure
Probability survivalProbabilityImpl (Time) const override
 survival probability calculation More...
 
Real defaultDensityImpl (Time) const override
 default density calculation More...
 
Real hazardRateImpl (Time) const override
 hazard rate calculation More...
 
- Protected Member Functions inherited from HazardRateStructure
Real hazardRateImpl (Time) const override
 hazard rate calculation More...
 
Probability survivalProbabilityImpl (Time) const override
 
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)
 
InterpolatedCurveoperator= (const InterpolatedCurve &c)
 
 InterpolatedCurve (InterpolatedCurve &&c) noexcept
 
InterpolatedCurveoperator= (InterpolatedCurve &&c) noexcept
 
void setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)
 
void setupInterpolation ()
 
 ~InterpolatedCurve ()=default
 
- Protected Attributes inherited from OneFactorAffineSurvivalStructure
ext::shared_ptr< OneFactorAffineModelmodel_
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 
- Protected Attributes inherited from InterpolatedCurve< Interpolator >
std::vector< Timetimes_
 
std::vector< Realdata_
 
Interpolation interpolation_
 
Interpolator interpolator_
 
Date maxDate_
 

Detailed Description

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.

Constructor & Destructor Documentation

◆ InterpolatedAffineHazardRateCurve() [1/6]

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< HandleQuote > >(),
const std::vector< Date > &  jumpDates = std::vector< Date >(),
const Interpolator &  interpolator = Interpolator() 
)

◆ InterpolatedAffineHazardRateCurve() [2/6]

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 
)

◆ InterpolatedAffineHazardRateCurve() [3/6]

InterpolatedAffineHazardRateCurve ( const std::vector< Date > &  dates,
const std::vector< Rate > &  hazardRates,
const DayCounter dayCounter,
const ext::shared_ptr< OneFactorAffineModel > &  model,
const Interpolator &  interpolator 
)

◆ InterpolatedAffineHazardRateCurve() [4/6]

InterpolatedAffineHazardRateCurve ( const DayCounter ,
const ext::shared_ptr< OneFactorAffineModel > &  model,
const std::vector< Handle< Quote > > &  jumps = std::vector< HandleQuote > >(),
const std::vector< Date > &  jumpDates = std::vector< Date >(),
const Interpolator &  interpolator = Interpolator() 
)
protected

◆ InterpolatedAffineHazardRateCurve() [5/6]

InterpolatedAffineHazardRateCurve ( const Date referenceDate,
const DayCounter ,
const ext::shared_ptr< OneFactorAffineModel > &  model,
const std::vector< Handle< Quote > > &  jumps = std::vector< HandleQuote > >(),
const std::vector< Date > &  jumpDates = std::vector< Date >(),
const Interpolator &  interpolator = Interpolator() 
)
protected

◆ InterpolatedAffineHazardRateCurve() [6/6]

InterpolatedAffineHazardRateCurve ( Natural  settlementDays,
const Calendar ,
const DayCounter ,
const ext::shared_ptr< OneFactorAffineModel > &  model,
const std::vector< Handle< Quote > > &  jumps = std::vector< HandleQuote > >(),
const std::vector< Date > &  jumpDates = std::vector< Date >(),
const Interpolator &  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 240 of file interpolatedaffinehazardratecurve.hpp.

◆ times()

const std::vector< Time > & times

Definition at line 246 of file interpolatedaffinehazardratecurve.hpp.

◆ dates()

const std::vector< Date > & dates

Definition at line 252 of file interpolatedaffinehazardratecurve.hpp.

◆ data()

const std::vector< Real > & data

Definition at line 258 of file interpolatedaffinehazardratecurve.hpp.

◆ hazardRates()

const std::vector< Rate > & hazardRates

Definition at line 264 of file interpolatedaffinehazardratecurve.hpp.

◆ nodes()

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

Definition at line 270 of file interpolatedaffinehazardratecurve.hpp.

◆ hazardRateImpl()

Real hazardRateImpl ( Time  ) const
overrideprotectedvirtual

Returns the deterministic hazard rate component.

Reimplemented from DefaultProbabilityTermStructure.

◆ survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time  ) const
overrideprotectedvirtual

survival probability calculation

Implements DefaultProbabilityTermStructure.

◆ conditionalSurvivalProbabilityImpl()

Probability conditionalSurvivalProbabilityImpl ( Time  tFwd,
Time  tTarget,
Real  yVal 
) const
overrideprotectedvirtual

Probability of default conditional to the realization of a given value of the stochastic part of the hazard rate at a prior time (and thus to survival at that time). \( P_{surv}(\tau>tTarget|F_{tFwd}) \)

Reimplemented from OneFactorAffineSurvivalStructure.

◆ initialize()

void initialize ( )
private

◆ hazardRate() [1/2]

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

Definition at line 130 of file defaulttermstructure.hpp.

◆ hazardRate() [2/2]

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

Definition at line 132 of file defaulttermstructure.hpp.

Member Data Documentation

◆ dates_

std::vector<Date> dates_
mutableprotected

Definition at line 137 of file interpolatedaffinehazardratecurve.hpp.