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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Chris Kenyon
Copyright (C) 2008 Roland Lichters
Copyright (C) 2008 StatPro Italia srl
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/defaultdensitystructure.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <boost/bind.hpp>
using namespace boost;
namespace QuantLib {
namespace {
template <class F>
struct remapper {
F f;
Time T;
remapper(const F& f, Time T) : f(f), T(T) {}
// This remaps [-1,1] to [0,T]. No differential included.
Real operator()(Real x) const {
const Real arg = (x+1.0)*T/2.0;
return f(arg);
}
};
template <class F>
remapper<F> remap(const F& f, Time T) {
return remapper<F>(f,T);
}
}
DefaultDensityStructure::DefaultDensityStructure(
const DayCounter& dc,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates)
: DefaultProbabilityTermStructure(dc, jumps, jumpDates) {}
DefaultDensityStructure::DefaultDensityStructure(
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) {}
DefaultDensityStructure::DefaultDensityStructure(
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) {}
Probability DefaultDensityStructure::survivalProbabilityImpl(Time t) const {
static GaussChebyshevIntegration integral(48);
// this stores the address of the method to integrate (so that
// we don't have to insert its full expression inside the
// integral below--it's long enough already)
Real (DefaultDensityStructure::*f)(Time) const =
&DefaultDensityStructure::defaultDensityImpl;
// the Gauss-Chebyshev quadratures integrate over [-1,1],
// hence the remapping (and the Jacobian term t/2)
Probability P = 1.0 - integral(remap(bind(f,this,_1), t)) * t/2.0;
//QL_ENSURE(P >= 0.0, "negative survival probability");
return std::max<Real>(P, 0.0);
}
}
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