Default probability term structure implied from a transition matrix. More...
#include <qle/termstructures/generatordefaulttermstructure.hpp>
Public Types | |
enum class | MatrixType { Transition , Generator } |
Public Member Functions | |
GeneratorDefaultProbabilityTermStructure (MatrixType matrixType, Matrix matrix, Size initialState, const Date &referenceDate, const Calendar &cal=NullCalendar(), const DayCounter &dc=Actual365Fixed()) | |
Constructor using a single (annual!) transition matrix or a generator matrix. | |
Date | maxDate () const override |
const Matrix & | transitionMatrix () const |
return the underlying annualised transition matrix | |
const Matrix & | generator () const |
Protected Member Functions | |
Probability | survivalProbabilityImpl (Time) const override |
Default probability term structure implied from a transition matrix.
This class uses a transition or generator matrix to imply cumulative survival probabilities depending on initial state.