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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_default_density_structure.html">DefaultDensityStructure</a></li> </ul>
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<div class="title">DefaultDensityStructure Class Reference</div> </div>
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<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 id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for DefaultDensityStructure:</div>
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<area shape="rect" title="Default-density term structure." alt="" coords="27,155,190,181"/>
<area shape="rect" href="class_quant_lib_1_1_interpolated_default_density_curve.html" title="DefaultProbabilityTermStructure based on interpolation of default densities." alt="" coords="20,229,197,271"/>
<area shape="rect" href="class_quant_lib_1_1_default_probability_term_structure.html" title="Default probability term structure." alt="" coords="5,80,212,107"/>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><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>
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<tr class="memitem:a08e6d79096aace37f51e5805152d7855"><td class="memItemLeft" align="right" valign="top"><a id="a08e6d79096aace37f51e5805152d7855"></a>
 </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#ad49654ea33055b03f8666910acc13880">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 class="separator:a08e6d79096aace37f51e5805152d7855"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abe07ca542ab37a1281091e5d16b6c8f5"><td class="memItemLeft" align="right" valign="top"><a id="abe07ca542ab37a1281091e5d16b6c8f5"></a>
 </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#acd49fd0f9bfecc09e0d3461f16ec5d79">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#ad49654ea33055b03f8666910acc13880">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 class="separator:abe07ca542ab37a1281091e5d16b6c8f5"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a31a3d32ba91cad674c0fe45f04af31dd"><td class="memItemLeft" align="right" valign="top"><a id="a31a3d32ba91cad674c0fe45f04af31dd"></a>
 </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#a32e050c75a34ceee6f0633bdb799a080">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#ad49654ea33055b03f8666910acc13880">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 class="separator:a31a3d32ba91cad674c0fe45f04af31dd"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_default_probability_term_structure')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html">DefaultProbabilityTermStructure</a></td></tr>
<tr class="memitem:a61f6e82b826a2c15edbeec08161281ce inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a61f6e82b826a2c15edbeec08161281ce"></a>
 </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 class="separator:a61f6e82b826a2c15edbeec08161281ce inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a44fb296352770addfc78f4b862c18143 inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a44fb296352770addfc78f4b862c18143"></a>
 </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#acd49fd0f9bfecc09e0d3461f16ec5d79">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 class="separator:a44fb296352770addfc78f4b862c18143 inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad874923d57650e4a31691c5a35fa5aca inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="ad874923d57650e4a31691c5a35fa5aca"></a>
 </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#a32e050c75a34ceee6f0633bdb799a080">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 class="separator:ad874923d57650e4a31691c5a35fa5aca inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a17df5e110b8b2484a8dfca51036bf7ed inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a17df5e110b8b2484a8dfca51036bf7ed"></a>
<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 class="separator:a17df5e110b8b2484a8dfca51036bf7ed inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:adaeb5d83340c06a9deb69d721ccc9310 inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><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#adaeb5d83340c06a9deb69d721ccc9310">survivalProbability</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, bool extrapolate=false) const</td></tr>
<tr class="separator:adaeb5d83340c06a9deb69d721ccc9310 inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a818d02c32b59e1cf1c2c0864c78bc1a4 inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a818d02c32b59e1cf1c2c0864c78bc1a4"></a>
<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 class="separator:a818d02c32b59e1cf1c2c0864c78bc1a4 inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acfd38d4648cc323800f7aebc6012266f inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><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#acfd38d4648cc323800f7aebc6012266f">defaultProbability</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, bool extrapolate=false) const</td></tr>
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<tr class="memitem:ad4477053076cddd69485612d11eebdd4 inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="ad4477053076cddd69485612d11eebdd4"></a>
<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#ad4477053076cddd69485612d11eebdd4">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 class="memdesc:ad4477053076cddd69485612d11eebdd4 inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">probability of default between two given dates <br /></td></tr>
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<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#a4f9b57ed7b4e591f8b7ee823f2edff44">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 class="memdesc:a4f9b57ed7b4e591f8b7ee823f2edff44 inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">probability of default between two given times <br /></td></tr>
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<tr class="memitem:a9beb3b492d9a24e6d0a3f6e0d56a9ea1 inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a9beb3b492d9a24e6d0a3f6e0d56a9ea1"></a>
<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>
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<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>
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<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>
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<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>
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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>
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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>
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<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_default_probability_term_structure"><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>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_term_structure')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_term_structure.html">TermStructure</a></td></tr>
<tr class="memitem:a4a8e0f324391a12454f11f5f5d5e66e8 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a4a8e0f324391a12454f11f5f5d5e66e8">TermStructure</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>())</td></tr>
<tr class="memdesc:a4a8e0f324391a12454f11f5f5d5e66e8 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">default constructor <a href="class_quant_lib_1_1_term_structure.html#a4a8e0f324391a12454f11f5f5d5e66e8">More...</a><br /></td></tr>
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 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a44918f70ab345cad67a287d46641f20f">TermStructure</a> (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#acd49fd0f9bfecc09e0d3461f16ec5d79">referenceDate</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#a38e235178eb0a7749c37a16d71f4762f">calendar</a>=<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>())</td></tr>
<tr class="memdesc:a44918f70ab345cad67a287d46641f20f inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br /></td></tr>
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 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#ab72309c6d49bd4b6dc5b9ed09b67c7b9">TermStructure</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#a32e050c75a34ceee6f0633bdb799a080">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> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr class="memdesc:ab72309c6d49bd4b6dc5b9ed09b67c7b9 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br /></td></tr>
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virtual </td><td class="memItemRight" valign="bottom"><b>~TermStructure</b> ()</td></tr>
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virtual <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#ad49654ea33055b03f8666910acc13880">dayCounter</a> () const</td></tr>
<tr class="memdesc:ad49654ea33055b03f8666910acc13880 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br /></td></tr>
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<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#aa249f26327547294e5f920745cab10fd">timeFromReference</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date) const</td></tr>
<tr class="memdesc:aa249f26327547294e5f920745cab10fd inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">date/time conversion <br /></td></tr>
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virtual <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_term_structure.html#a9d5c437961b8f9e30cffb723777ed7c6">maxDate</a> () const =0</td></tr>
<tr class="memdesc:a9d5c437961b8f9e30cffb723777ed7c6 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br /></td></tr>
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virtual <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a4950639c8f60a60050efe2772e1d6a2a">maxTime</a> () const</td></tr>
<tr class="memdesc:a4950639c8f60a60050efe2772e1d6a2a inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">the latest time for which the curve can return values <br /></td></tr>
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virtual 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_term_structure.html#acd49fd0f9bfecc09e0d3461f16ec5d79">referenceDate</a> () const</td></tr>
<tr class="memdesc:acd49fd0f9bfecc09e0d3461f16ec5d79 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">the date at which discount = 1.0 and/or variance = 0.0 <br /></td></tr>
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virtual <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a38e235178eb0a7749c37a16d71f4762f">calendar</a> () const</td></tr>
<tr class="memdesc:a38e235178eb0a7749c37a16d71f4762f inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">the calendar used for reference and/or option date calculation <br /></td></tr>
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virtual <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a32e050c75a34ceee6f0633bdb799a080">settlementDays</a> () const</td></tr>
<tr class="memdesc:a32e050c75a34ceee6f0633bdb799a080 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">the settlementDays used for reference date calculation <br /></td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
<tr class="separator:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_extrapolator"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_extrapolator')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_extrapolator.html">Extrapolator</a></td></tr>
<tr class="memitem:ae60e793a77f44a9c022b103458fa993c inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memItemLeft" align="right" valign="top"><a id="ae60e793a77f44a9c022b103458fa993c"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extrapolator.html#ae60e793a77f44a9c022b103458fa993c">enableExtrapolation</a> (bool b=true)</td></tr>
<tr class="memdesc:ae60e793a77f44a9c022b103458fa993c inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="mdescLeft"> </td><td class="mdescRight">enable extrapolation in subsequent calls <br /></td></tr>
<tr class="separator:ae60e793a77f44a9c022b103458fa993c inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abab5047522a68771f2b1d51d1ac78383 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memItemLeft" align="right" valign="top"><a id="abab5047522a68771f2b1d51d1ac78383"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extrapolator.html#abab5047522a68771f2b1d51d1ac78383">disableExtrapolation</a> (bool b=true)</td></tr>
<tr class="memdesc:abab5047522a68771f2b1d51d1ac78383 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="mdescLeft"> </td><td class="mdescRight">disable extrapolation in subsequent calls <br /></td></tr>
<tr class="separator:abab5047522a68771f2b1d51d1ac78383 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a323f875818fddd62a1c56c25ddaee418 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memItemLeft" align="right" valign="top"><a id="a323f875818fddd62a1c56c25ddaee418"></a>
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extrapolator.html#a323f875818fddd62a1c56c25ddaee418">allowsExtrapolation</a> () const</td></tr>
<tr class="memdesc:a323f875818fddd62a1c56c25ddaee418 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="mdescLeft"> </td><td class="mdescRight">tells whether extrapolation is enabled <br /></td></tr>
<tr class="separator:a323f875818fddd62a1c56c25ddaee418 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">DefaultProbabilityTermStructure implementation</div></td></tr>
<tr class="memitem:a012763ed193dd02fd59b013cb9198a00"><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#a012763ed193dd02fd59b013cb9198a00">survivalProbabilityImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const</td></tr>
<tr class="memdesc:a012763ed193dd02fd59b013cb9198a00"><td class="mdescLeft"> </td><td class="mdescRight">survival probability calculation <a href="class_quant_lib_1_1_default_density_structure.html#a012763ed193dd02fd59b013cb9198a00">More...</a><br /></td></tr>
<tr class="separator:a012763ed193dd02fd59b013cb9198a00"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_default_probability_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_default_probability_term_structure')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html">DefaultProbabilityTermStructure</a></td></tr>
<tr class="memitem:a6fa52b63cbf5503d39b7ce7cb66b741e inherit pro_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a6fa52b63cbf5503d39b7ce7cb66b741e"></a>
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 class="memdesc:a6fa52b63cbf5503d39b7ce7cb66b741e inherit pro_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">default density calculation <br /></td></tr>
<tr class="separator:a6fa52b63cbf5503d39b7ce7cb66b741e inherit pro_methods_class_quant_lib_1_1_default_probability_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_term_structure')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_term_structure.html">TermStructure</a></td></tr>
<tr class="memitem:abbff679b6600c49cafed098870f94376 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="abbff679b6600c49cafed098870f94376"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#abbff679b6600c49cafed098870f94376">checkRange</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, bool extrapolate) const</td></tr>
<tr class="memdesc:abbff679b6600c49cafed098870f94376 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">date-range check <br /></td></tr>
<tr class="separator:abbff679b6600c49cafed098870f94376 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac13f8e2d29e10f3fb6838bfb59759299 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="ac13f8e2d29e10f3fb6838bfb59759299"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#ac13f8e2d29e10f3fb6838bfb59759299">checkRange</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, bool extrapolate) const</td></tr>
<tr class="memdesc:ac13f8e2d29e10f3fb6838bfb59759299 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">time-range check <br /></td></tr>
<tr class="separator:ac13f8e2d29e10f3fb6838bfb59759299 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
<tr class="separator:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_term_structure')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_term_structure.html">TermStructure</a></td></tr>
<tr class="memitem:a3cfce9cb19de6f0604adee64b6d80a35 inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a3cfce9cb19de6f0604adee64b6d80a35"></a>
bool </td><td class="memItemRight" valign="bottom"><b>moving_</b></td></tr>
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<tr class="memitem:a56cd8ee45c3477740e0429f98758c935 inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a56cd8ee45c3477740e0429f98758c935"></a>
bool </td><td class="memItemRight" valign="bottom"><b>updated_</b></td></tr>
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<tr class="memitem:a021eab7f1f44c1c71b8dfd29b9c4864b inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a021eab7f1f44c1c71b8dfd29b9c4864b"></a>
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><b>calendar_</b></td></tr>
<tr class="separator:a021eab7f1f44c1c71b8dfd29b9c4864b inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">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><h2 class="groupheader">Member Function Documentation</h2>
<a id="a012763ed193dd02fd59b013cb9198a00"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a012763ed193dd02fd59b013cb9198a00">◆ </a></span>survivalProbabilityImpl()</h2>
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<td class="memname"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> survivalProbabilityImpl </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</td>
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<p>survival probability calculation </p>
<p>implemented in terms of the default density \( p(t) \) as </p><p class="formulaDsp">
\[ S(t) = 1 - \int_0^t p(\tau) d\tau. \]
</p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000157">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#a012763ed193dd02fd59b013cb9198a00">InterpolatedDefaultDensityCurve< Interpolator ></a>.</p>
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