SurvivalProbabilityCurve< Interpolator > Class Template Reference

DefaultProbabilityTermStructure based on interpolation of survival probability quotes. More...

#include <qle/termstructures/survivalprobabilitycurve.hpp>

Inheritance diagram for SurvivalProbabilityCurve< Interpolator >:

Public Types
enum class	Extrapolation { flatFwd , flatZero }

Public Member Functions
	SurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Handle< Quote >> &quotes, 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 Extrapolation extrpolation=Extrapolation::flatFwd)
TermStructure interface
Date	maxDate () const override
other inspectors
const std::vector< Time > &	times () const
const std::vector< Date > &	dates () const
const std::vector< Real > &	data () const
const std::vector< Probability > &	survivalProbabilities () const
const std::vector< Handle< Quote > > &	quotes () const
std::vector< std::pair< Date, Real > >	nodes () const

Observer interface
void	update () override

Detailed Description

template<class Interpolator>
class QuantExt::SurvivalProbabilityCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of survival probability quotes.