Default probability term structure implied from a transition matrix. More...

#include <qle/termstructures/generatordefaulttermstructure.hpp>

Inheritance diagram for GeneratorDefaultProbabilityTermStructure:

Public Types
enum class	MatrixType { Transition , Generator }

Public Member Functions
	GeneratorDefaultProbabilityTermStructure (MatrixType matrixType, Matrix matrix, Size initialState, const Date &referenceDate, const Calendar &cal=NullCalendar(), const DayCounter &dc=Actual365Fixed())
	Constructor using a single (annual!) transition matrix or a generator matrix.
Date	maxDate () const override
const Matrix &	transitionMatrix () const
	return the underlying annualised transition matrix
const Matrix &	generator () const

Protected Member Functions
Probability	survivalProbabilityImpl (Time) const override

Detailed Description

Default probability term structure implied from a transition matrix.

This class uses a transition or generator matrix to imply cumulative survival probabilities depending on initial state.

Public Types