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<li class="navelem"><a class="el" href="class_quant_lib_1_1_default_density_structure.html">DefaultDensityStructure</a> </li>
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<!-- doxytag: class="QuantLib::DefaultDensityStructure" --><!-- doxytag: inherits="QuantLib::DefaultProbabilityTermStructure" -->
<p>Default-density term structure.
<a href="class_quant_lib_1_1_default_density_structure.html#details">More...</a></p>
<p><code>#include <ql/termstructures/credit/defaultdensitystructure.hpp></code></p>
<div class="dynheader">
Inheritance diagram for DefaultDensityStructure:</div>
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<div class="center"><img src="class_quant_lib_1_1_default_density_structure__inherit__graph.png" border="0" usemap="#_default_density_structure_inherit__map" alt="Inheritance graph"/></div>
<map name="_default_density_structure_inherit__map" id="_default_density_structure_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_interpolated_default_density_curve.html" title="DefaultProbabilityTermStructure based on interpolation of default densities." alt="" coords="5,166,304,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_default_probability_term_structure.html" title="Default probability term structure." alt="" coords="52,6,257,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_default_density_structure-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>See the <a class="el" href="class_quant_lib_1_1_term_structure.html" title="Basic term-structure functionality.">TermStructure</a> documentation for issues regarding constructors. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a08e6d79096aace37f51e5805152d7855"></a><!-- doxytag: member="QuantLib::DefaultDensityStructure::DefaultDensityStructure" ref="a08e6d79096aace37f51e5805152d7855" args="(const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())" -->
 </td><td class="memItemRight" valign="bottom"><b>DefaultDensityStructure</b> (const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>(), const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > &jumps=std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > >(), const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &jumpDates=std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abe07ca542ab37a1281091e5d16b6c8f5"></a><!-- doxytag: member="QuantLib::DefaultDensityStructure::DefaultDensityStructure" ref="abe07ca542ab37a1281091e5d16b6c8f5" args="(const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())" -->
 </td><td class="memItemRight" valign="bottom"><b>DefaultDensityStructure</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#aa9ae6cc6009ac64d4f265065eab08be0">referenceDate</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>(), const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > &jumps=std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > >(), const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &jumpDates=std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a31a3d32ba91cad674c0fe45f04af31dd"></a><!-- doxytag: member="QuantLib::DefaultDensityStructure::DefaultDensityStructure" ref="a31a3d32ba91cad674c0fe45f04af31dd" args="(Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())" -->
 </td><td class="memItemRight" valign="bottom"><b>DefaultDensityStructure</b> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#ab6506da60fec85c6f146f1b43116de70">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>(), const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > &jumps=std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > >(), const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &jumpDates=std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >())</td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">DefaultProbabilityTermStructure implementation</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_default_density_structure.html#a9ea9cd8b6b75f0c6e5ed1d907dfe63e1">survivalProbabilityImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">survival probability calculation <a href="#a9ea9cd8b6b75f0c6e5ed1d907dfe63e1"></a><br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Default-density term structure. </p>
<p>This abstract class acts as an adapter to <a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html" title="Default probability term structure.">DefaultProbabilityTermStructure</a> allowing the programmer to implement only the <code>defaultDensityImpl(Time)</code> method in derived classes.</p>
<p>Survival/default probabilities and hazard rates are calculated from default densities. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a9ea9cd8b6b75f0c6e5ed1d907dfe63e1"></a><!-- doxytag: member="QuantLib::DefaultDensityStructure::survivalProbabilityImpl" ref="a9ea9cd8b6b75f0c6e5ed1d907dfe63e1" args="(Time) const " -->
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<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> <a class="el" href="class_quant_lib_1_1_default_density_structure.html#a9ea9cd8b6b75f0c6e5ed1d907dfe63e1">survivalProbabilityImpl</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"></td><td>)</td>
<td> const<code> [protected, virtual]</code></td>
</tr>
</table>
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<p>survival probability calculation </p>
<p>implemented in terms of the default density <img class="formulaInl" alt="$ p(t) $" src="form_367.png"/> as </p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ S(t) = 1 - \int_0^t p(\tau) d\tau. \]" src="form_368.png"/>
</p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000108">Warning:</a></b></dt><dd>This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available. </dd></dl>
<p>Implements <a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html#a344fea84748c884236cd26be3f3b1dd5">DefaultProbabilityTermStructure</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_interpolated_default_density_curve.html#a9ea9cd8b6b75f0c6e5ed1d907dfe63e1">InterpolatedDefaultDensityCurve< Interpolator ></a>.</p>
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