SurvivalProbabilityStructure Class Reference
Hazard-rate term structure. More...
#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>
Inheritance diagram for SurvivalProbabilityStructure:

Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
SurvivalProbabilityStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
SurvivalProbabilityStructure (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 >()) | |
SurvivalProbabilityStructure (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 >()) | |
Protected Member Functions | |
DefaultProbabilityTermStructure implementation | |
Real | defaultDensityImpl (Time) const |
instantaneous default density at a given time |
Detailed Description
Hazard-rate term structure.
This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the survivalProbabilityImpl(Time)
method in derived classes.
Hazard rates and default densities are calculated from survival probabilities.
Member Function Documentation
instantaneous default density at a given time
implemented in terms of the survival probability as
- Warning:
- This implementation uses numerical differentiation, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
Implements DefaultProbabilityTermStructure.
Reimplemented in InterpolatedSurvivalProbabilityCurve< Interpolator >.