QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
OneFactorAffineSurvivalStructure Class Reference

#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 DatereferenceDate () 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 &)
 
Observeroperator= (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 &)
 
Observableoperator= (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< OneFactorAffineModelmodel_
 
- 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
 

Detailed Description

Survival probability term structure based on a one factor stochastic model of the default intensity.

Member Function Documentation

◆ conditionalSurvivalProbability()

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.

Parameters
dFwdTime of the forward survival calculation and HR realization.
dTgtTarget time of survival probability.
yValRealized value of the HR at time dFwd.
extrapolateAllow curve extrapolation.
Returns
Survival probability.