DefaultDensityStructure Class Reference

default-density adapter for default-probability term structures More...

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

Inheritance diagram for DefaultDensityStructure:

List of all members.

Public Member Functions

Constructors

See the TermStructure documentation for issues regarding constructors.

DefaultDensityStructure (const DayCounter &dc=DayCounter())

default constructor

DefaultDensityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter())

initialize with a fixed reference date

DefaultDensityStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter())

calculate the reference date based on the global evaluation date

Protected Member Functions

Probability survivalProbabilityImpl (Time) const

probability of survival between today (t = 0) and a given time

Real hazardRateImpl (Time) const

instantaneous hazard rate at a given time

Detailed Description

default-density adapter for default-probability term structures

DefaultDensityStructure ( const DayCounter & dc = DayCounter() )

default constructor

Warning:: term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Probability survivalProbabilityImpl ( Time ) const [protected, virtual]

probability of survival between today (t = 0) and a given time

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

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

Note:: This implementation uses numerical integration. Derived classes should override it if a more efficient formula is available.

Real hazardRateImpl ( Time ) const [protected, virtual]

instantaneous hazard rate at a given time

implemented in terms of the default density $ p(t) $ and the survival probability $ S(t) $ as $ h(t) = p(t)/S(t). $


Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	DefaultDensityStructure (const DayCounter &dc=DayCounter())
	default constructor
	DefaultDensityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	DefaultDensityStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
Protected Member Functions
Probability	survivalProbabilityImpl (Time) const
	probability of survival between today (t = 0) and a given time
Real	hazardRateImpl (Time) const
	instantaneous hazard rate at a given time