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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_interpolated_default_density_curve.html">InterpolatedDefaultDensityCurve</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">InterpolatedDefaultDensityCurve< Interpolator > Class Template Reference</div> </div>
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<!-- doxytag: class="QuantLib::InterpolatedDefaultDensityCurve" --><!-- doxytag: inherits="QuantLib::DefaultDensityStructure,QuantLib::InterpolatedCurve" -->
<p><a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html" title="Default probability term structure.">DefaultProbabilityTermStructure</a> based on interpolation of default densities.
<a href="class_quant_lib_1_1_interpolated_default_density_curve.html#details">More...</a></p>
<p><code>#include <ql/termstructures/credit/interpolateddefaultdensitycurve.hpp></code></p>
<div class="dynheader">
Inheritance diagram for InterpolatedDefaultDensityCurve< Interpolator >:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_interpolated_default_density_curve__inherit__graph.png" border="0" usemap="#_interpolated_default_density_curve_3_01_interpolator_01_4_inherit__map" alt="Inheritance graph"/></div>
<map name="_interpolated_default_density_curve_3_01_interpolator_01_4_inherit__map" id="_interpolated_default_density_curve_3_01_interpolator_01_4_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_default_density_structure.html" title="Default-density term structure." alt="" coords="5,6,165,37"/><area shape="rect" id="node4" href="class_quant_lib_1_1_interpolated_curve.html" title="Helper class to build interpolated term structures." alt="" coords="189,6,403,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_interpolated_default_density_curve-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 class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8c0c81b5218c6878a761a8b61b3847ee"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::InterpolatedDefaultDensityCurve" ref="a8c0c81b5218c6878a761a8b61b3847ee" args="(const std::vector< Date > &dates, const std::vector< Real > &densities, 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())" -->
 </td><td class="memItemRight" valign="bottom"><b>InterpolatedDefaultDensityCurve</b> (const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &dates, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &densities, 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>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ae9a0f3904cff2fe61596c593dd0b6448">calendar</a>=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</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> >(), const Interpolator &interpolator=Interpolator())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab171d47fd7b13da5575665707c620204"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::InterpolatedDefaultDensityCurve" ref="ab171d47fd7b13da5575665707c620204" args="(const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)" -->
 </td><td class="memItemRight" valign="bottom"><b>InterpolatedDefaultDensityCurve</b> (const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &dates, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &densities, 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>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ae9a0f3904cff2fe61596c593dd0b6448">calendar</a>, const Interpolator &interpolator)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad049c51eabb71d2f66efac9d060eed7e"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::InterpolatedDefaultDensityCurve" ref="ad049c51eabb71d2f66efac9d060eed7e" args="(const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Interpolator &interpolator)" -->
 </td><td class="memItemRight" valign="bottom"><b>InterpolatedDefaultDensityCurve</b> (const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &dates, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &densities, 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>, const Interpolator &interpolator)</td></tr>
<tr><td colspan="2"><div class="groupHeader">TermStructure interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::maxDate" ref="a74d8fc5480ca811db8332b7b30597fe9" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_interpolated_default_density_curve.html#a74d8fc5480ca811db8332b7b30597fe9">maxDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">other inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa338cfa77dc3c8dc467f4225459094fd"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::times" ref="aa338cfa77dc3c8dc467f4225459094fd" args="() const " -->
const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td><td class="memItemRight" valign="bottom"><b>times</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a021de10463e6e18e294494d7cbb2b75d"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::dates" ref="a021de10463e6e18e294494d7cbb2b75d" 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>dates</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac4cb0310cb2b45d6d243dd93f5d0b00f"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::data" ref="ac4cb0310cb2b45d6d243dd93f5d0b00f" args="() const " -->
const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td><td class="memItemRight" valign="bottom"><b>data</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a16b31267a5d51c03fbbf54b60612cfad"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::defaultDensities" ref="a16b31267a5d51c03fbbf54b60612cfad" args="() const " -->
const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td><td class="memItemRight" valign="bottom"><b>defaultDensities</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad18c145fb4f30b90c7f7a93f9b36417e"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::nodes" ref="ad18c145fb4f30b90c7f7a93f9b36417e" args="() const " -->
std::vector< std::pair< <a class="el" href="class_quant_lib_1_1_date.html">Date</a>, <br class="typebreak"/>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > </td><td class="memItemRight" valign="bottom"><b>nodes</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7dad4b294b2331b5d423a38a30df9c6e"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::InterpolatedDefaultDensityCurve" ref="a7dad4b294b2331b5d423a38a30df9c6e" args="(const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())" -->
 </td><td class="memItemRight" valign="bottom"><b>InterpolatedDefaultDensityCurve</b> (const <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> >(), const Interpolator &interpolator=Interpolator())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5e4e50e4d1564d12229ecbcba24dda3f"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::InterpolatedDefaultDensityCurve" ref="a5e4e50e4d1564d12229ecbcba24dda3f" args="(const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())" -->
 </td><td class="memItemRight" valign="bottom"><b>InterpolatedDefaultDensityCurve</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_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> >(), const Interpolator &interpolator=Interpolator())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abe3387df0fc21b1761dcefc118b903fb"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::InterpolatedDefaultDensityCurve" ref="abe3387df0fc21b1761dcefc118b903fb" args="(Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())" -->
 </td><td class="memItemRight" valign="bottom"><b>InterpolatedDefaultDensityCurve</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> &, const <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> >(), const Interpolator &interpolator=Interpolator())</td></tr>
<tr><td colspan="2"><div class="groupHeader">DefaultDensityStructure implementation</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aacf490703e42933ebc53ef281a4a38fb"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::defaultDensityImpl" ref="aacf490703e42933ebc53ef281a4a38fb" args="(Time) const " -->
<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_interpolated_default_density_curve.html#aacf490703e42933ebc53ef281a4a38fb">defaultDensityImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">default density calculation <br/></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_interpolated_default_density_curve.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>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a361b6eadf2fb8b49e1a53073e0f8f11d"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::dates_" ref="a361b6eadf2fb8b49e1a53073e0f8f11d" args="" -->
std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > </td><td class="memItemRight" valign="bottom"><b>dates_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><h3>template<class Interpolator><br/>
class QuantLib::InterpolatedDefaultDensityCurve< Interpolator ></h3>
<p><a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html" title="Default probability term structure.">DefaultProbabilityTermStructure</a> based on interpolation of default densities. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a9ea9cd8b6b75f0c6e5ed1d907dfe63e1"></a><!-- doxytag: member="QuantLib::InterpolatedDefaultDensityCurve::survivalProbabilityImpl" ref="a9ea9cd8b6b75f0c6e5ed1d907dfe63e1" args="(Time) const " -->
<div class="memitem">
<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_interpolated_default_density_curve.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>
</div>
<div class="memdoc">
<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>Reimplemented from <a class="el" href="class_quant_lib_1_1_default_density_structure.html#a9ea9cd8b6b75f0c6e5ed1d907dfe63e1">DefaultDensityStructure</a>.</p>
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