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| OneFactorAffineSurvivalStructure (const ext::shared_ptr< OneFactorAffineModel > &model, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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| OneFactorAffineSurvivalStructure (const ext::shared_ptr< OneFactorAffineModel > &model, const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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| OneFactorAffineSurvivalStructure (const ext::shared_ptr< OneFactorAffineModel > &model, Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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Date | maxDate () const |
| the latest date for which the curve can return values
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Probability | conditionalSurvivalProbability (const Date &dFwd, const Date &dTgt, Real yVal, bool extrapolate=false) const |
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Probability | conditionalSurvivalProbability (Time tFwd, Time tgt, Real yVal, bool extrapolate=false) const |
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Rate | hazardRate (Time t, bool extrapolate=false) const |
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Rate | hazardRate (const Date &d, bool extrapolate=false) const |
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Rate | hazardRate (Time t, bool extrapolate=false) const |
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| HazardRateStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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| HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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| HazardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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| DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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| DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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| DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) |
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Probability | survivalProbability (const Date &d, bool extrapolate=false) const |
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Probability | survivalProbability (Time t, bool extrapolate=false) const |
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Probability | defaultProbability (const Date &d, bool extrapolate=false) const |
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Probability | defaultProbability (Time t, bool extrapolate=false) const |
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Probability | defaultProbability (const Date &, const Date &, bool extrapolate=false) const |
| probability of default between two given dates
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Probability | defaultProbability (Time, Time, bool extrapo=false) const |
| probability of default between two given times
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Real | defaultDensity (const Date &d, bool extrapolate=false) const |
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Real | defaultDensity (Time t, bool extrapolate=false) const |
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Rate | hazardRate (const Date &d, bool extrapolate=false) const |
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Rate | hazardRate (Time t, bool extrapolate=false) const |
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const std::vector< Date > & | jumpDates () const |
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const std::vector< Time > & | jumpTimes () const |
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void | update () |
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| TermStructure (const DayCounter &dc=DayCounter()) |
| default constructor More...
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| TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) |
| initialize with a fixed reference date
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| TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) |
| calculate the reference date based on the global evaluation date
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virtual | ~TermStructure () |
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virtual DayCounter | dayCounter () const |
| the day counter used for date/time conversion
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Time | timeFromReference (const Date &date) const |
| date/time conversion
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virtual Time | maxTime () const |
| the latest time for which the curve can return values
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virtual const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0
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virtual Calendar | calendar () const |
| the calendar used for reference and/or option date calculation
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virtual Natural | settlementDays () const |
| the settlementDays used for reference date calculation
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
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void | registerWithObservables (const ext::shared_ptr< Observer > &) |
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Size | unregisterWith (const ext::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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virtual void | deepUpdate () |
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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void | notifyObservers () |
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Survival probability term structure based on a one factor stochastic model of the default intensity.