#include <ql/experimental/credit/onefactoraffinesurvival.hpp>
Inheritance diagram for OneFactorAffineSurvivalStructure:Public Member Functions | |
| OneFactorAffineSurvivalStructure (boost::shared_ptr< OneFactorAffineModel > model, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
| OneFactorAffineSurvivalStructure (boost::shared_ptr< OneFactorAffineModel > model, 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 >()) | |
| OneFactorAffineSurvivalStructure (boost::shared_ptr< OneFactorAffineModel > model, Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
| Rate | hazardRate (Time t, bool extrapolate=false) const |
| Rate | hazardRate (const Date &d, bool extrapolate=false) const |
| Rate | hazardRate (Time t, bool extrapolate=false) const |
TermStructure interface | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
| Probability | conditionalSurvivalProbability (const Date &dFwd, const Date &dTgt, Real yVal, bool extrapolate=false) const |
| Probability | conditionalSurvivalProbability (Time tFwd, Time tgt, Real yVal, bool extrapolate=false) const |
Public Member Functions inherited from HazardRateStructure | |
| HazardRateStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
| HazardRateStructure (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 >()) | |
| HazardRateStructure (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 DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Time | timeFromReference (const Date &date) const |
| date/time conversion | |
| 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 boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::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 | |
| virtual Probability | conditionalSurvivalProbabilityImpl (Time tFwd, Time tgt, Real yVal) const |
| Real | hazardRateImpl (Time t) const |
| hazard rate calculation | |
DefaultProbabilityTermStructure implementation | |
| Probability | survivalProbabilityImpl (Time) const |
| survival probability calculation | |
| Real | defaultDensityImpl (Time) const |
| default density calculation | |
Protected Member Functions inherited from HazardRateStructure | |
| Probability | survivalProbabilityImpl (Time) const |
| Real | defaultDensityImpl (Time) const |
| default density calculation | |
Calculations | |
These methods must be implemented in derived classes to perform the actual calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. | |
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 | |
Protected Attributes | |
| boost::shared_ptr< OneFactorAffineModel > | model_ |
Protected Attributes inherited from TermStructure | |
| bool | moving_ |
| bool | updated_ |
| Calendar | calendar_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Survival probability term structure based on a one factor stochastic model of the default intensity.
| Probability conditionalSurvivalProbability | ( | const Date & | dFwd, |
| const Date & | dTgt, | ||
| Real | yVal, | ||
| bool | extrapolate = false |
||
| ) | const |
Returns the probability at a future time dTgt, conditional to survival at a prior time dFwd and to the realization of a particular hazard rate value at dFwd.
| dFwd | Time of the forward survival calculation and HR realization. |
| dTgt | Target time of survival probability. |
| yVal | Realized value of the HR at time dFwd. |
| extrapolate | Allow curve extrapolation. |