InterpolatedDefaultDensityCurve Class Template Reference
interpolated default-density curve More...
#include <ql/termstructures/credit/interpolateddefaultdensitycurve.hpp>
Inheritance diagram for InterpolatedDefaultDensityCurve:
Public Member Functions | |
| InterpolatedDefaultDensityCurve (const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const Interpolator &interpolator=Interpolator()) | |
TermStructure interface | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
other inspectors | |
| const std::vector< Time > & | times () const |
| const std::vector< Date > & | dates () const |
| const std::vector< Real > & | defaultDensities () const |
|
std::vector< std::pair< Date, Real > > | nodes () const |
Protected Member Functions | |
| InterpolatedDefaultDensityCurve (const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
| InterpolatedDefaultDensityCurve (const Date &referenceDate, const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
| InterpolatedDefaultDensityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const Interpolator &interpolator=Interpolator()) | |
| Real | defaultDensityImpl (Time) const |
| instantaneous default density at a given time | |
| Probability | survivalProbabilityImpl (Time) const |
| probability of survival between today (t = 0) and a given time | |
Protected Attributes | |
| std::vector< Date > | dates_ |
| std::vector< Time > | times_ |
| std::vector< Real > | data_ |
| Interpolation | interpolation_ |
| Interpolator | interpolator_ |
Detailed Description
template<class Interpolator>
class QuantLib::InterpolatedDefaultDensityCurve< Interpolator >
interpolated default-density curve Member Function Documentation
| Probability survivalProbabilityImpl | ( | Time | ) | const [protected, virtual] |
probability of survival between today (t = 0) and a given time
implemented in terms of the default density 
as
![\[ S(t) = 1 - \int_0^t p(\tau) d\tau. \]](form_365.png)
- Note:
- This implementation uses numerical integration. Derived classes should override it if a more efficient formula is available.
Reimplemented from DefaultDensityStructure.