| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2008 Chris Kenyon |
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| 5 | Copyright (C) 2008 Roland Lichters |
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| 6 | Copyright (C) 2008 StatPro Italia srl |
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| 7 | |
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| 8 | This file is part of QuantLib, a free-software/open-source library |
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| 9 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 10 | |
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| 11 | QuantLib is free software: you can redistribute it and/or modify it |
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| 12 | under the terms of the QuantLib license. You should have received a |
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| 13 | copy of the license along with this program; if not, please email |
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| 14 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 15 | <http://quantlib.org/license.shtml>. |
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| 16 | |
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| 17 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 18 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 19 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 20 | */ |
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| 21 | |
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| 22 | /*! \file defaultdensitystructure.hpp |
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| 23 | \brief default-density term structure |
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| 24 | */ |
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| 25 | |
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| 26 | #ifndef quantlib_default_density_structure_hpp |
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| 27 | #define quantlib_default_density_structure_hpp |
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| 28 | |
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| 29 | #include <ql/termstructures/defaulttermstructure.hpp> |
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| 30 | |
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| 31 | namespace QuantLib { |
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| 32 | |
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| 33 | //! Default-density term structure |
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| 34 | /*! This abstract class acts as an adapter to |
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| 35 | DefaultProbabilityTermStructure allowing the programmer to implement |
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| 36 | only the <tt>defaultDensityImpl(Time)</tt> method in derived classes. |
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| 37 | |
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| 38 | Survival/default probabilities and hazard rates are calculated |
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| 39 | from default densities. |
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| 40 | |
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| 41 | \ingroup defaultprobabilitytermstructures |
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| 42 | */ |
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| 43 | class DefaultDensityStructure : public DefaultProbabilityTermStructure { |
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| 44 | public: |
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| 45 | /*! \name Constructors |
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| 46 | See the TermStructure documentation for issues regarding |
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| 47 | constructors. |
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| 48 | */ |
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| 49 | //@{ |
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| 50 | DefaultDensityStructure( |
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| 51 | const DayCounter& dayCounter = DayCounter(), |
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| 52 | const std::vector<Handle<Quote> >& jumps = {}, |
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| 53 | const std::vector<Date>& jumpDates = {}); |
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| 54 | DefaultDensityStructure( |
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| 55 | const Date& referenceDate, |
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| 56 | const Calendar& cal = Calendar(), |
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| 57 | const DayCounter& dayCounter = DayCounter(), |
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| 58 | const std::vector<Handle<Quote> >& jumps = {}, |
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| 59 | const std::vector<Date>& jumpDates = {}); |
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| 60 | DefaultDensityStructure( |
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| 61 | Natural settlementDays, |
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| 62 | const Calendar& cal, |
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| 63 | const DayCounter& dayCounter = DayCounter(), |
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| 64 | const std::vector<Handle<Quote> >& jumps = {}, |
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| 65 | const std::vector<Date>& jumpDates = {}); |
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| 66 | //@} |
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| 67 | protected: |
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| 68 | //! \name DefaultProbabilityTermStructure implementation |
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| 69 | //@{ |
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| 70 | //! survival probability calculation |
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| 71 | /*! implemented in terms of the default density \f$ p(t) \f$ as |
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| 72 | \f[ |
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| 73 | S(t) = 1 - \int_0^t p(\tau) d\tau. |
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| 74 | \f] |
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| 75 | |
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| 76 | \warning This default implementation uses numerical integration, |
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| 77 | which might be inefficient and inaccurate. |
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| 78 | Derived classes should override it if a more efficient |
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| 79 | implementation is available. |
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| 80 | */ |
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| 81 | Probability survivalProbabilityImpl(Time) const override; |
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| 82 | //@} |
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| 83 | }; |
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| 84 | |
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| 85 | } |
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| 86 | |
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| 87 | #endif |
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| 88 | |
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