InterpolatedSurvivalProbabilityCurve< Interpolator > Class Template Reference

DefaultProbabilityTermStructure based on interpolation of survival probabilities. More...

#include <qle/termstructures/interpolatedsurvivalprobabilitycurve.hpp>

Inheritance diagram for InterpolatedSurvivalProbabilityCurve< Interpolator >:

Public Member Functions
	InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, 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(), const bool allowNegativeRates=false)
TermStructure interface
Date	maxDate () const override

DefaultProbabilityTermStructure implementation
std::vector< Date >	dates_
Probability	survivalProbabilityImpl (Time) const override
Real	defaultDensityImpl (Time) const override

other inspectors
const std::vector< Time > &	times () const
const std::vector< Date > &	dates () const
const std::vector< Real > &	data () const
const std::vector< Probability > &	survivalProbabilities () const
std::vector< std::pair< Date, Real > >	nodes () const
	InterpolatedSurvivalProbabilityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)
	InterpolatedSurvivalProbabilityCurve (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(), const bool allowNegativeRates=false)
	InterpolatedSurvivalProbabilityCurve (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(), const bool allowNegativeRates=false)

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedSurvivalProbabilityCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of survival probabilities.