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<li class="navelem"><a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html">DefaultProbabilityTermStructure</a> </li>
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<!-- doxytag: class="QuantLib::DefaultProbabilityTermStructure" --><!-- doxytag: inherits="QuantLib::TermStructure" -->
<p>Default probability term structure.
<a href="class_quant_lib_1_1_default_probability_term_structure.html#details">More...</a></p>
<p><code>#include <ql/termstructures/defaulttermstructure.hpp></code></p>
<div class="dynheader">
Inheritance diagram for DefaultProbabilityTermStructure:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_default_probability_term_structure__inherit__graph.png" border="0" usemap="#_default_probability_term_structure_inherit__map" alt="Inheritance graph"/></div>
<map name="_default_probability_term_structure_inherit__map" id="_default_probability_term_structure_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_default_density_structure.html" title="Default-density term structure." alt="" coords="5,166,165,197"/><area shape="rect" id="node7" href="class_quant_lib_1_1_hazard_rate_structure.html" title="Hazard-rate term structure." alt="" coords="189,166,331,197"/><area shape="rect" id="node9" href="class_quant_lib_1_1_survival_probability_structure.html" title="Hazard-rate term structure." alt="" coords="355,166,536,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_term_structure.html" title="Basic term-structure functionality." alt="" coords="208,6,312,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_default_probability_term_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="a61f6e82b826a2c15edbeec08161281ce"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::DefaultProbabilityTermStructure" ref="a61f6e82b826a2c15edbeec08161281ce" args="(const DayCounter &dc=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>DefaultProbabilityTermStructure</b> (const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<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="a44fb296352770addfc78f4b862c18143"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::DefaultProbabilityTermStructure" ref="a44fb296352770addfc78f4b862c18143" args="(const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=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>DefaultProbabilityTermStructure</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> &dc=<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="ad874923d57650e4a31691c5a35fa5aca"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::DefaultProbabilityTermStructure" ref="ad874923d57650e4a31691c5a35fa5aca" args="(Natural settlementDays, const Calendar &cal, const DayCounter &dc=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>DefaultProbabilityTermStructure</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> &dc=<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"><div class="groupHeader">Survival probabilities</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>These methods return the survival probability from the reference date until a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac8b61d19fc6af8e68c998581163a7979"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::survivalProbability" ref="ac8b61d19fc6af8e68c998581163a7979" args="(const Date &d, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><b>survivalProbability</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, bool extrapolate=false) const </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_probability_term_structure.html#a564dec16c937941fb22a3f10e5cc6a94">survivalProbability</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, bool extrapolate=false) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Default probabilities</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>These methods return the default probability from the reference date until a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab961f738c3cd86c3ab852b1f0017933a"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::defaultProbability" ref="ab961f738c3cd86c3ab852b1f0017933a" args="(const Date &d, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><b>defaultProbability</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, bool extrapolate=false) const </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_probability_term_structure.html#aca67e9cf1e6f5220abbb72a1c5a6fed6">defaultProbability</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, bool extrapolate=false) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a58faf49747512845a293b1d4dd44dbbf"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::defaultProbability" ref="a58faf49747512845a293b1d4dd44dbbf" args="(const Date &, const Date &, bool extrapolate=false) const " -->
<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_probability_term_structure.html#a58faf49747512845a293b1d4dd44dbbf">defaultProbability</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">probability of default between two given dates <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3b2c279a4628ed919c5fa5a22ca2f3d6"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::defaultProbability" ref="a3b2c279a4628ed919c5fa5a22ca2f3d6" args="(Time, Time, bool extrapo=false) const " -->
<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_probability_term_structure.html#a3b2c279a4628ed919c5fa5a22ca2f3d6">defaultProbability</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, bool extrapo=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">probability of default between two given times <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">Default densities</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>These methods return the default density at a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac02f02adbc2dd62c31c7196db9f51bb6"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::defaultDensity" ref="ac02f02adbc2dd62c31c7196db9f51bb6" args="(const Date &d, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>defaultDensity</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, bool extrapolate=false) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ade380748bd5d88bcdd0672077924c995"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::defaultDensity" ref="ade380748bd5d88bcdd0672077924c995" args="(Time t, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>defaultDensity</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, bool extrapolate=false) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Hazard rates</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>These methods returns the hazard rate at a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.</p>
<p>Hazard rates are defined with annual frequency and continuous compounding. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afadf82224cdb1634d8ea32c2d3de09f5"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::hazardRate" ref="afadf82224cdb1634d8ea32c2d3de09f5" args="(const Date &d, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>hazardRate</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, bool extrapolate=false) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9527c9b893be59578a27a69550ad9679"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::hazardRate" ref="a9527c9b893be59578a27a69550ad9679" args="(Time t, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>hazardRate</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, bool extrapolate=false) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Jump inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a664edcb72ff4033ddc5d423bb22adb42"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::jumpDates" ref="a664edcb72ff4033ddc5d423bb22adb42" args="() const " -->
const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > & </td><td class="memItemRight" valign="bottom"><b>jumpDates</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1abac1502627ed10d3a628b2b5e3f8e8"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::jumpTimes" ref="a1abac1502627ed10d3a628b2b5e3f8e8" args="() const " -->
const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td><td class="memItemRight" valign="bottom"><b>jumpTimes</b> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Observer interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html#ac5c54df7ed3b930268c8d7752c101725">update</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">Calculations</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>These methods must be implemented in derived classes to perform the actual calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a344fea84748c884236cd26be3f3b1dd5"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::survivalProbabilityImpl" ref="a344fea84748c884236cd26be3f3b1dd5" args="(Time) const =0" -->
virtual <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_probability_term_structure.html#a344fea84748c884236cd26be3f3b1dd5">survivalProbabilityImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">survival probability calculation <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6fa52b63cbf5503d39b7ce7cb66b741e"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::defaultDensityImpl" ref="a6fa52b63cbf5503d39b7ce7cb66b741e" args="(Time) const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html#a6fa52b63cbf5503d39b7ce7cb66b741e">defaultDensityImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">default density calculation <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Default probability term structure. </p>
<p>This abstract class defines the interface of concrete credit structures which will be derived from this one. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a564dec16c937941fb22a3f10e5cc6a94"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::survivalProbability" ref="a564dec16c937941fb22a3f10e5cc6a94" args="(Time t, bool extrapolate=false) const " -->
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<td class="memname"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> survivalProbability </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>t</em>, </td>
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<td class="paramtype">bool </td>
<td class="paramname"><em>extrapolate</em> = <code>false</code> </td>
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<td>)</td>
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<p>The same day-counting rule used by the term structure should be used for calculating the passed time t. </p>
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<a class="anchor" id="aca67e9cf1e6f5220abbb72a1c5a6fed6"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::defaultProbability" ref="aca67e9cf1e6f5220abbb72a1c5a6fed6" args="(Time t, bool extrapolate=false) const " -->
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<td class="memname"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> defaultProbability </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>t</em>, </td>
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<td class="paramtype">bool </td>
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<td>)</td>
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<p>The same day-counting rule used by the term structure should be used for calculating the passed time t. </p>
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<a class="anchor" id="ac5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::DefaultProbabilityTermStructure::update" ref="ac5c54df7ed3b930268c8d7752c101725" args="()" -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html#ac5c54df7ed3b930268c8d7752c101725">update</a> </td>
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<td><code> [virtual]</code></td>
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<p>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. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_term_structure.html#ac5c54df7ed3b930268c8d7752c101725">TermStructure</a>.</p>
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