DefaultProbabilityTermStructure based on interpolation of survival probabilities.
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#include <qle/termstructures/interpolatedsurvivalprobabilitycurve.hpp>
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| InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false) |
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Date | maxDate () const override |
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std::vector< Date > | dates_ |
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Probability | survivalProbabilityImpl (Time) const override |
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Real | defaultDensityImpl (Time) const override |
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const std::vector< Time > & | times () const |
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const std::vector< Date > & | dates () const |
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const std::vector< Real > & | data () const |
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const std::vector< Probability > & | survivalProbabilities () const |
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std::vector< std::pair< Date, Real > > | nodes () const |
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| InterpolatedSurvivalProbabilityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false) |
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| InterpolatedSurvivalProbabilityCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false) |
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| InterpolatedSurvivalProbabilityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false) |
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template<class Interpolator>
class QuantExt::InterpolatedSurvivalProbabilityCurve< Interpolator >
DefaultProbabilityTermStructure based on interpolation of survival probabilities.