Piecewise default-probability term structure. More...

#include <piecewisedefaultcurve.hpp>

Inheritance diagram for PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >:

Collaboration diagram for PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >:

Public Types
typedef Traits	traits_type

typedef Interpolator	interpolator_type

typedef Bootstrap< this_curve >	bootstrap_type

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
Constructors
	PiecewiseDefaultCurve (const Date &referenceDate, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const DayCounter &dayCounter, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &i={}, bootstrap_type bootstrap={})

	PiecewiseDefaultCurve (const Date &referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const Interpolator &i, const bootstrap_type &bootstrap=bootstrap_type())

	PiecewiseDefaultCurve (const Date &referenceDate, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const DayCounter &dayCounter, bootstrap_type bootstrap)

	PiecewiseDefaultCurve (Natural settlementDays, const Calendar &calendar, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const DayCounter &dayCounter, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &i={}, bootstrap_type bootstrap={})

	PiecewiseDefaultCurve (Natural settlementDays, const Calendar &calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const Interpolator &i, const bootstrap_type &bootstrap=bootstrap_type())

	PiecewiseDefaultCurve (Natural settlementDays, const Calendar &calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const bootstrap_type &bootstrap)

	PiecewiseDefaultCurve (const Date &referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const ext::shared_ptr< OneFactorAffineModel > &model, const Interpolator &i={}, const bootstrap_type &bootstrap={})

TermStructure interface
Date	maxDate () const override

base_curve interface
const std::vector< Time > &	times () const

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

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

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

Observer interface
void	update () override

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

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 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 ()

Private Types
typedef Traits::template curve< Interpolator >::type	base_curve

typedef PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >	this_curve

LazyObject interface
std::vector< ext::shared_ptr< typename Traits::helper > >	instruments_

Real	accuracy_

Bootstrap< this_curve >	bootstrap_

class	Bootstrap< this_curve >

class	BootstrapError< this_curve >

void	performCalculations () const override

Probability	survivalProbabilityImpl (Time) const override

Real	defaultDensityImpl (Time) const override

Real	hazardRateImpl (Time) const override

Additional Inherited Members
Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

template<class Traits, class Interpolator, template< class > class Bootstrap = IterativeBootstrap>
class QuantLib::PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >

Piecewise default-probability term structure.

This term structure is bootstrapped on a number of credit instruments which are passed as a vector of handles to DefaultProbabilityHelper instances. Their maturities mark the boundaries of the interpolated segments.

Each segment is determined sequentially starting from the earliest period to the latest and is chosen so that the instrument whose maturity marks the end of such segment is correctly repriced on the curve.

Warning:: The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.

Examples: CDS.cpp.

Definition at line 55 of file piecewisedefaultcurve.hpp.

Member Typedef Documentation

◆ base_curve

typedef Traits::template curve<Interpolator>::type base_curve

private

Definition at line 59 of file piecewisedefaultcurve.hpp.

◆ this_curve

typedef PiecewiseDefaultCurve<Traits,Interpolator,Bootstrap> this_curve

private

Definition at line 60 of file piecewisedefaultcurve.hpp.

◆ traits_type

typedef Traits traits_type

Definition at line 62 of file piecewisedefaultcurve.hpp.

◆ interpolator_type

typedef Interpolator interpolator_type

Definition at line 63 of file piecewisedefaultcurve.hpp.

◆ bootstrap_type

typedef Bootstrap<this_curve> bootstrap_type

Definition at line 64 of file piecewisedefaultcurve.hpp.

Constructor & Destructor Documentation

◆ PiecewiseDefaultCurve() [1/7]

PiecewiseDefaultCurve	(	const Date &	referenceDate,
		std::vector< ext::shared_ptr< typename Traits::helper > >	instruments,
		const DayCounter &	dayCounter,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	i = `{}`,
		bootstrap_type	bootstrap = `{}`
	)

Definition at line 68 of file piecewisedefaultcurve.hpp.

◆ PiecewiseDefaultCurve() [2/7]

PiecewiseDefaultCurve	(	const Date &	referenceDate,
		const std::vector< ext::shared_ptr< typename Traits::helper > > &	instruments,
		const DayCounter &	dayCounter,
		const Interpolator &	i,
		const bootstrap_type &	bootstrap = `bootstrap_type()`
	)

Definition at line 82 of file piecewisedefaultcurve.hpp.

◆ PiecewiseDefaultCurve() [3/7]

PiecewiseDefaultCurve	(	const Date &	referenceDate,
		std::vector< ext::shared_ptr< typename Traits::helper > >	instruments,
		const DayCounter &	dayCounter,
		bootstrap_type	bootstrap
	)

Definition at line 95 of file piecewisedefaultcurve.hpp.

◆ PiecewiseDefaultCurve() [4/7]

PiecewiseDefaultCurve	(	Natural	settlementDays,
		const Calendar &	calendar,
		std::vector< ext::shared_ptr< typename Traits::helper > >	instruments,
		const DayCounter &	dayCounter,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`,
		const Interpolator &	i = `{}`,
		bootstrap_type	bootstrap = `{}`
	)

Definition at line 106 of file piecewisedefaultcurve.hpp.

◆ PiecewiseDefaultCurve() [5/7]

PiecewiseDefaultCurve	(	Natural	settlementDays,
		const Calendar &	calendar,
		const std::vector< ext::shared_ptr< typename Traits::helper > > &	instruments,
		const DayCounter &	dayCounter,
		const Interpolator &	i,
		const bootstrap_type &	bootstrap = `bootstrap_type()`
	)

Definition at line 121 of file piecewisedefaultcurve.hpp.

◆ PiecewiseDefaultCurve() [6/7]

PiecewiseDefaultCurve	(	Natural	settlementDays,
		const Calendar &	calendar,
		const std::vector< ext::shared_ptr< typename Traits::helper > > &	instruments,
		const DayCounter &	dayCounter,
		const bootstrap_type &	bootstrap
	)

Definition at line 135 of file piecewisedefaultcurve.hpp.

◆ PiecewiseDefaultCurve() [7/7]

PiecewiseDefaultCurve	(	const Date &	referenceDate,
		const std::vector< ext::shared_ptr< typename Traits::helper > > &	instruments,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< OneFactorAffineModel > &	model,
		const Interpolator &	i = `{}`,
		const bootstrap_type &	bootstrap = `{}`
	)

Definition at line 157 of file piecewisedefaultcurve.hpp.

Member Function Documentation

◆ maxDate()

Date maxDate

override

Definition at line 215 of file piecewisedefaultcurve.hpp.

◆ times()

const std::vector< Time > & times

Definition at line 222 of file piecewisedefaultcurve.hpp.

◆ dates()

const std::vector< Date > & dates

Definition at line 229 of file piecewisedefaultcurve.hpp.

◆ data()

const std::vector< Real > & data

Definition at line 236 of file piecewisedefaultcurve.hpp.

◆ nodes()

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

Definition at line 243 of file piecewisedefaultcurve.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 LazyObject.

Definition at line 249 of file piecewisedefaultcurve.hpp.

Here is the call graph for this function:

◆ performCalculations()

void performCalculations ( ) const

overrideprivatevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 280 of file piecewisedefaultcurve.hpp.

◆ survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time t ) const

overrideprivate

Definition at line 262 of file piecewisedefaultcurve.hpp.

◆ defaultDensityImpl()

Real defaultDensityImpl ( Time t ) const

overrideprivate

Definition at line 268 of file piecewisedefaultcurve.hpp.

◆ hazardRateImpl()

Real hazardRateImpl ( Time t ) const

overrideprivate

Definition at line 274 of file piecewisedefaultcurve.hpp.

Friends And Related Function Documentation

◆ Bootstrap< this_curve >

friend class Bootstrap< this_curve >

friend

Definition at line 200 of file piecewisedefaultcurve.hpp.

◆ BootstrapError< this_curve >

friend class BootstrapError< this_curve >

friend

Definition at line 200 of file piecewisedefaultcurve.hpp.

Member Data Documentation

◆ instruments_

std::vector<ext::shared_ptr<typename Traits::helper> > instruments_

private

Definition at line 199 of file piecewisedefaultcurve.hpp.

◆ accuracy_

Real accuracy_

private

Definition at line 200 of file piecewisedefaultcurve.hpp.

◆ bootstrap_

Bootstrap<this_curve> bootstrap_

private

Definition at line 208 of file piecewisedefaultcurve.hpp.

Public Types

Public Member Functions

Private Types

LazyObject interface

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ base_curve

◆ this_curve

◆ traits_type

◆ interpolator_type

◆ bootstrap_type

Constructor & Destructor Documentation

◆ PiecewiseDefaultCurve() [1/7]

◆ PiecewiseDefaultCurve() [2/7]

◆ PiecewiseDefaultCurve() [3/7]

◆ PiecewiseDefaultCurve() [4/7]

◆ PiecewiseDefaultCurve() [5/7]

◆ PiecewiseDefaultCurve() [6/7]

◆ PiecewiseDefaultCurve() [7/7]

Member Function Documentation

◆ maxDate()

◆ times()

◆ dates()

◆ data()

◆ nodes()

◆ update()

◆ performCalculations()

◆ survivalProbabilityImpl()

◆ defaultDensityImpl()

◆ hazardRateImpl()

Friends And Related Function Documentation

◆ Bootstrap< this_curve >

◆ BootstrapError< this_curve >

Member Data Documentation

◆ instruments_

◆ accuracy_

◆ bootstrap_