LgmImpliedDefaultTermStructure Class Reference

Lgm Implied Default Term Structure. More...

#include <qle/models/lgmimplieddefaulttermstructure.hpp>

Inheritance diagram for LgmImpliedDefaultTermStructure:

Public Member Functions
	LgmImpliedDefaultTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, const Size index, const Size currency, const DayCounter &dc=DayCounter(), const bool purelyTimeBased=false)
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
void	referenceDate (const Date &d)
void	referenceTime (const Time t)
void	state (const Real z, const Real y)
void	move (const Date &d, const Real z, const Real y)
void	move (const Time t, const Real z, const Real y)
void	update () override

Protected Member Functions
Probability	survivalProbabilityImpl (Time) const override

Protected Attributes
const QuantLib::ext::shared_ptr< CrossAssetModel >	model_
const Size	index_
const Size	currency_
const bool	purelyTimeBased_
Date	referenceDate_
Real	relativeTime_
Real	z_
Real	y_

Detailed Description

Lgm Implied Default Term Structure.

The termstructure has the reference date of the model's termstructure at construction, but you can vary this as well as the state. The purely time based variant is mainly there for performance reasons, note that it does not provide the full term structure interface and does not send notifications on reference time updates.