Lgm Implied Default Term Structure. More...
#include <qle/models/lgmimplieddefaulttermstructure.hpp>
Public Member Functions | |
LgmImpliedDefaultTermStructure (const boost::shared_ptr< CrossAssetModel > &model, const Size index, const Size currency, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false) | |
Date | maxDate () const override |
Time | maxTime () const override |
const Date & | referenceDate () const override |
void | referenceDate (const Date &d) |
void | referenceTime (const Time t) |
void | state (const Real z, const Real y) |
void | move (const Date &d, const Real z, const Real y) |
void | move (const Time t, const Real z, const Real y) |
void | update () override |
Protected Member Functions | |
Probability | survivalProbabilityImpl (Time) const override |
Protected Attributes | |
const boost::shared_ptr< CrossAssetModel > | model_ |
const Size | index_ |
const Size | currency_ |
const bool | purelyTimeBased_ |
Date | referenceDate_ |
Real | relativeTime_ |
Real | z_ |
Real | y_ |
Lgm Implied Default Term Structure.
The termstructure has the reference date of the model's termstructure at construction, but you can vary this as well as the state. The purely time based variant is mainly there for performance reasons, note that it does not provide the full term structure interface and does not send notifications on reference time updates.