DefaultDensityStructure Class Reference

Default-density term structure. More...

#include <ql/termstructures/credit/defaultdensitystructure.hpp>

Inheritance diagram for DefaultDensityStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	DefaultDensityStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
	DefaultDensityStructure (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 >())
	DefaultDensityStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
Public Member Functions inherited from DefaultProbabilityTermStructure
	DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
	DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
	DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
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
Probability	defaultProbability (Time, Time, bool extrapo=false) const
	probability of default between two given times
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 ()
Public Member Functions inherited from TermStructure
	TermStructure (const DayCounter &dc=DayCounter())
	default constructor More...
	TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual	~TermStructure ()
virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Date	maxDate () const =0
	the latest date for which the curve can return values
virtual Time	maxTime () const
	the latest time for which the curve can return values
virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0
virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation
virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled

Protected Member Functions
DefaultProbabilityTermStructure implementation
Probability	survivalProbabilityImpl (Time) const
	survival probability calculation More...
Protected Member Functions inherited from DefaultProbabilityTermStructure
virtual Real	defaultDensityImpl (Time) const =0
	default density calculation
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Attributes inherited from TermStructure
bool	moving_
bool	updated_
Calendar	calendar_

Detailed Description

Default-density term structure.

This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the defaultDensityImpl(Time) method in derived classes.

Survival/default probabilities and hazard rates are calculated from default densities.

Member Function Documentation

survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time  ) const

protectedvirtual

survival probability calculation

implemented in terms of the default density \( p(t) \) as

\[ S(t) = 1 - \int_0^t p(\tau) d\tau. \]

Warning:

This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.

Implements DefaultProbabilityTermStructure.

Reimplemented in InterpolatedDefaultDensityCurve< Interpolator >.