QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
survivalprobabilitystructure.hpp
Go to the documentation of this file.
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 Ferdinando Ametrano
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file survivalprobabilitystructure.hpp
21 \brief survival-probability term structure
22*/
23
24#ifndef quantlib_survival_probability_structure_hpp
25#define quantlib_survival_probability_structure_hpp
26
28
29namespace QuantLib {
30
31 //! Hazard-rate term structure
32 /*! This abstract class acts as an adapter to
33 DefaultProbabilityTermStructure allowing the programmer to implement
34 only the <tt>survivalProbabilityImpl(Time)</tt> method in derived
35 classes.
36
37 Hazard rates and default densities are calculated
38 from survival probabilities.
39
40 \ingroup defaultprobabilitytermstructures
41 */
44 public:
45 /*! \name Constructors
46 See the TermStructure documentation for issues regarding
47 constructors.
48 */
49 //@{
52 const std::vector<Handle<Quote> >& jumps = {},
53 const std::vector<Date>& jumpDates = {});
55 const Date& referenceDate,
56 const Calendar& cal = Calendar(),
58 const std::vector<Handle<Quote> >& jumps = {},
59 const std::vector<Date>& jumpDates = {});
62 const Calendar& cal,
64 const std::vector<Handle<Quote> >& jumps = {},
65 const std::vector<Date>& jumpDates = {});
66 //@}
67 protected:
68 //! \name DefaultProbabilityTermStructure implementation
69 //@{
70 //! instantaneous default density at a given time
71 /*! implemented in terms of the survival probability \f$ S(t) \f$ as
72 \f$ p(t) = -\frac{d}{dt} S(t). \f$
73
74 \warning This implementation uses numerical differentiation,
75 which might be inefficient and inaccurate.
76 Derived classes should override it if a more efficient
77 implementation is available.
78 */
79 Real defaultDensityImpl(Time) const override;
80 //@}
81 };
82
83}
84
85#endif
calendar class
Definition: calendar.hpp:61
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
Default probability term structure.
const std::vector< Date > & jumpDates() const
Shared handle to an observable.
Definition: handle.hpp:41
Real defaultDensityImpl(Time) const override
instantaneous default density at a given time
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
virtual DayCounter dayCounter() const
the day counter used for date/time conversion
default-probability term structure
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Definition: any.hpp:35