/usr/include/ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2009 Ferdinando Ametrano
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file interpolatedsurvivalprobabilitycurve.hpp
\brief interpolated survival-probability term structure
*/
#ifndef quantlib_interpolated_survival_probability_curve_hpp
#define quantlib_interpolated_survival_probability_curve_hpp
#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>
#include <ql/termstructures/interpolatedcurve.hpp>
#include <utility>
namespace QuantLib {
//! DefaultProbabilityTermStructure based on interpolation of survival probabilities
/*! \ingroup defaultprobabilitytermstructures */
template <class Interpolator>
class InterpolatedSurvivalProbabilityCurve
: public SurvivalProbabilityStructure,
protected InterpolatedCurve<Interpolator> {
public:
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());
//! \name TermStructure interface
//@{
Date maxDate() const;
//@}
//! \name 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;
//@}
protected:
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());
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());
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());
//! \name DefaultProbabilityTermStructure implementation
//@{
Probability survivalProbabilityImpl(Time) const;
Real defaultDensityImpl(Time) const;
//@}
mutable std::vector<Date> dates_;
};
// inline definitions
template <class T>
inline Date InterpolatedSurvivalProbabilityCurve<T>::maxDate() const {
return dates_.back();
}
template <class T>
inline const std::vector<Time>&
InterpolatedSurvivalProbabilityCurve<T>::times() const {
return this->times_;
}
template <class T>
inline const std::vector<Date>&
InterpolatedSurvivalProbabilityCurve<T>::dates() const {
return dates_;
}
template <class T>
inline const std::vector<Real>&
InterpolatedSurvivalProbabilityCurve<T>::data() const {
return this->data_;
}
template <class T>
inline const std::vector<Probability>&
InterpolatedSurvivalProbabilityCurve<T>::survivalProbabilities() const {
return this->data_;
}
template <class T>
inline std::vector<std::pair<Date,Real> >
InterpolatedSurvivalProbabilityCurve<T>::nodes() const {
std::vector<std::pair<Date,Real> > results(dates_.size());
for (Size i=0; i<dates_.size(); ++i)
results[i] = std::make_pair(dates_[i],this->data_[i]);
return results;
}
#ifndef __DOXYGEN__
// template definitions
template <class T>
Probability
InterpolatedSurvivalProbabilityCurve<T>::survivalProbabilityImpl(Time t)
const {
if (t <= this->times_.back())
return this->interpolation_(t, true);
// flat hazard rate extrapolation
Time tMax = this->times_.back();
Probability sMax = this->data_.back();
Rate hazardMax = - this->interpolation_.derivative(tMax) / sMax;
return sMax * std::exp(- hazardMax * (t-tMax));
}
template <class T>
Real
InterpolatedSurvivalProbabilityCurve<T>::defaultDensityImpl(Time t) const {
if (t <= this->times_.back())
return -this->interpolation_.derivative(t, true);
// flat hazard rate extrapolation
Time tMax = this->times_.back();
Probability sMax = this->data_.back();
Rate hazardMax = - this->interpolation_.derivative(tMax) / sMax;
return sMax * hazardMax * std::exp(- hazardMax * (t-tMax));
}
template <class T>
InterpolatedSurvivalProbabilityCurve<T>::InterpolatedSurvivalProbabilityCurve(
const DayCounter& dayCounter,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates,
const T& interpolator)
: SurvivalProbabilityStructure(dayCounter, jumps, jumpDates),
InterpolatedCurve<T>(interpolator) {}
template <class T>
InterpolatedSurvivalProbabilityCurve<T>::InterpolatedSurvivalProbabilityCurve(
const Date& referenceDate,
const DayCounter& dayCounter,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates,
const T& interpolator)
: SurvivalProbabilityStructure(referenceDate, Calendar(), dayCounter, jumps, jumpDates),
InterpolatedCurve<T>(interpolator) {}
template <class T>
InterpolatedSurvivalProbabilityCurve<T>::InterpolatedSurvivalProbabilityCurve(
Natural settlementDays,
const Calendar& calendar,
const DayCounter& dayCounter,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates,
const T& interpolator)
: SurvivalProbabilityStructure(settlementDays, calendar, dayCounter, jumps, jumpDates),
InterpolatedCurve<T>(interpolator) {}
template <class T>
InterpolatedSurvivalProbabilityCurve<T>::InterpolatedSurvivalProbabilityCurve(
const std::vector<Date>& dates,
const std::vector<Probability>& probabilities,
const DayCounter& dayCounter,
const Calendar& calendar,
const std::vector<Handle<Quote> >& jumps,
const std::vector<Date>& jumpDates,
const T& interpolator)
: SurvivalProbabilityStructure(dates.at(0), calendar, dayCounter, jumps, jumpDates),
InterpolatedCurve<T>(std::vector<Time>(), probabilities, interpolator),
dates_(dates)
{
QL_REQUIRE(dates_.size() >= T::requiredPoints,
"not enough input dates given");
QL_REQUIRE(this->data_.size() == dates_.size(),
"dates/data count mismatch");
QL_REQUIRE(this->data_[0] == 1.0,
"the first probability must be == 1.0 "
"to flag the corresponding date as reference date");
this->times_.resize(dates_.size());
this->times_[0] = 0.0;
for (Size i=1; i<dates_.size(); ++i) {
QL_REQUIRE(dates_[i] > dates_[i-1],
"invalid date (" << dates_[i] << ", vs "
<< dates_[i-1] << ")");
this->times_[i] = dayCounter.yearFraction(dates_[0], dates_[i]);
QL_REQUIRE(!close(this->times_[i],this->times_[i-1]),
"two dates correspond to the same time "
"under this curve's day count convention");
QL_REQUIRE(this->data_[i] > 0.0, "negative probability");
QL_REQUIRE(this->data_[i] <= this->data_[i-1],
"negative hazard rate implied by the survival "
"probability " <<
this->data_[i] << " at " << dates_[i] <<
" (t=" << this->times_[i] << ") after the survival "
"probability " <<
this->data_[i-1] << " at " << dates_[i-1] <<
" (t=" << this->times_[i-1] << ")");
}
this->interpolation_ =
this->interpolator_.interpolate(this->times_.begin(),
this->times_.end(),
this->data_.begin());
this->interpolation_.update();
}
#endif
}
#endif
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