1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Ferdinando Ametrano
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>
namespace QuantLib {
SurvivalProbabilityStructure::SurvivalProbabilityStructure(
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: DefaultProbabilityTermStructure(dc, jumps, jumpDates) {}
SurvivalProbabilityStructure::SurvivalProbabilityStructure(
const Date& refDate,
const Calendar& cal,
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: DefaultProbabilityTermStructure(refDate, cal, dc, jumps, jumpDates) {}
SurvivalProbabilityStructure::SurvivalProbabilityStructure(
Natural settlDays,
const Calendar& cal,
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: DefaultProbabilityTermStructure(settlDays, cal, dc, jumps, jumpDates) {}
Real SurvivalProbabilityStructure::defaultDensityImpl(Time t) const {
Time dt = 0.0001;
Time t1 = std::max(t-dt, 0.0);
Time t2 = t+dt;
Probability p1 = survivalProbabilityImpl(t1);
Probability p2 = survivalProbabilityImpl(t2);
return (p1-p2)/(t2-t1);
}
}
|
