PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap > Class Template Reference

Piecewise default-probability term structure. More...

#include <ql/termstructures/credit/piecewisedefaultcurve.hpp>

Inheritance diagram for PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >:

Public Types
typedef Traits	traits_type
typedef Interpolator	interpolator_type
typedef Bootstrap< this_curve >	bootstrap_type
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator

Public Member Functions
Constructors
	PiecewiseDefaultCurve (const Date &referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
	PiecewiseDefaultCurve (const Date &referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const Interpolator &i, const bootstrap_type &bootstrap=bootstrap_type())
	PiecewiseDefaultCurve (const Date &referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const bootstrap_type &bootstrap)
QL_DEPRECATED	PiecewiseDefaultCurve (const Date &referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
QL_DEPRECATED	PiecewiseDefaultCurve (const Date &referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
	PiecewiseDefaultCurve (Natural settlementDays, const Calendar &calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
	PiecewiseDefaultCurve (Natural settlementDays, const Calendar &calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const Interpolator &i, const bootstrap_type &bootstrap=bootstrap_type())
	PiecewiseDefaultCurve (Natural settlementDays, const Calendar &calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const bootstrap_type &bootstrap)
QL_DEPRECATED	PiecewiseDefaultCurve (Natural settlementDays, const Calendar &calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const std::vector< Handle< Quote > > &jumps, const std::vector< Date > &jumpDates, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
QL_DEPRECATED	PiecewiseDefaultCurve (Natural settlementDays, const Calendar &calendar, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, Real accuracy, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
	PiecewiseDefaultCurve (const Date &referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const ext::shared_ptr< OneFactorAffineModel > &model, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
QL_DEPRECATED	PiecewiseDefaultCurve (const Date &referenceDate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, Real accuracy, const ext::shared_ptr< OneFactorAffineModel > &model, const Interpolator &i=Interpolator(), const bootstrap_type &bootstrap=bootstrap_type())
TermStructure interface
Date	maxDate () const
base_curve interface
const std::vector< Time > &	times () const
const std::vector< Date > &	dates () const
const std::vector< Real > &	data () const
std::vector< std::pair< Date, Real > >	nodes () const
Observer interface
void	update ()
Public Member Functions inherited from LazyObject
void	recalculate ()
void	freeze ()
void	unfreeze ()
void	alwaysForwardNotifications ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

LazyObject interface
class	Bootstrap< this_curve >
class	BootstrapError< this_curve >

Additional Inherited Members
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from LazyObject
bool	calculated_
bool	frozen_
bool	alwaysForward_

Detailed Description

template<class Traits, class Interpolator, template< class > class Bootstrap = IterativeBootstrap>
class QuantLib::PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >

Piecewise default-probability term structure.

This term structure is bootstrapped on a number of credit instruments which are passed as a vector of handles to DefaultProbabilityHelper instances. Their maturities mark the boundaries of the interpolated segments.

Each segment is determined sequentially starting from the earliest period to the latest and is chosen so that the instrument whose maturity marks the end of such segment is correctly repriced on the curve.

Warning:

The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.

Examples

CDS.cpp.

Constructor & Destructor Documentation

PiecewiseDefaultCurve() [1/5]

QL_DEPRECATED PiecewiseDefaultCurve	(	const Date &	referenceDate,
		const std::vector< ext::shared_ptr< typename Traits::helper > > &	instruments,
		const DayCounter &	dayCounter,
		const std::vector< Handle< Quote > > &	jumps,
		const std::vector< Date > &	jumpDates,
		Real	accuracy,
		const Interpolator &	i = Interpolator(),
		const bootstrap_type &	bootstrap = bootstrap_type()
	)

Deprecated:

Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.

PiecewiseDefaultCurve() [2/5]

QL_DEPRECATED PiecewiseDefaultCurve	(	const Date &	referenceDate,
		const std::vector< ext::shared_ptr< typename Traits::helper > > &	instruments,
		const DayCounter &	dayCounter,
		Real	accuracy,
		const Interpolator &	i = Interpolator(),
		const bootstrap_type &	bootstrap = bootstrap_type()
	)

Deprecated:

Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.

PiecewiseDefaultCurve() [3/5]

QL_DEPRECATED PiecewiseDefaultCurve	(	Natural	settlementDays,
		const Calendar &	calendar,
		const std::vector< ext::shared_ptr< typename Traits::helper > > &	instruments,
		const DayCounter &	dayCounter,
		const std::vector< Handle< Quote > > &	jumps,
		const std::vector< Date > &	jumpDates,
		Real	accuracy,
		const Interpolator &	i = Interpolator(),
		const bootstrap_type &	bootstrap = bootstrap_type()
	)

Deprecated:

Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.

PiecewiseDefaultCurve() [4/5]

QL_DEPRECATED PiecewiseDefaultCurve	(	Natural	settlementDays,
		const Calendar &	calendar,
		const std::vector< ext::shared_ptr< typename Traits::helper > > &	instruments,
		const DayCounter &	dayCounter,
		Real	accuracy,
		const Interpolator &	i = Interpolator(),
		const bootstrap_type &	bootstrap = bootstrap_type()
	)

Deprecated:

Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.

PiecewiseDefaultCurve() [5/5]

QL_DEPRECATED PiecewiseDefaultCurve	(	const Date &	referenceDate,
		const std::vector< ext::shared_ptr< typename Traits::helper > > &	instruments,
		const DayCounter &	dayCounter,
		Real	accuracy,
		const ext::shared_ptr< OneFactorAffineModel > &	model,
		const Interpolator &	i = Interpolator(),
		const bootstrap_type &	bootstrap = bootstrap_type()
	)

Deprecated:

Pass the accuracy inside the bootstrap object (or don't pass it at all). Deprecated in version 1.18.

Member Function Documentation

update()

void update ( )

virtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.