/usr/include/ql/termstructures/defaulttermstructure.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) 2008 Chris Kenyon
Copyright (C) 2008 Roland Lichters
Copyright (C) 2008 StatPro Italia srl
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 defaulttermstructure.hpp
\brief default-probability term structure
*/
#ifndef quantlib_default_term_structure_hpp
#define quantlib_default_term_structure_hpp
#include <ql/termstructure.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
//! Default probability term structure
/*! This abstract class defines the interface of concrete
credit structures which will be derived from this one.
\ingroup defaultprobabilitytermstructures
*/
class DefaultProbabilityTermStructure : public TermStructure {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
DefaultProbabilityTermStructure(
const DayCounter& dc = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
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>());
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>());
//@}
/*! \name Survival probabilities
These methods return the survival probability from the reference
date until a given date or time. In the latter case, the time
is calculated as a fraction of year from the reference date.
*/
//@{
Probability survivalProbability(const Date& d,
bool extrapolate = false) const;
/*! The same day-counting rule used by the term structure
should be used for calculating the passed time t.
*/
Probability survivalProbability(Time t,
bool extrapolate = false) const;
//@}
/*! \name Default probabilities
These methods return the default probability from the reference
date until a given date or time. In the latter case, the time
is calculated as a fraction of year from the reference date.
*/
//@{
Probability defaultProbability(const Date& d,
bool extrapolate = false) const;
/*! The same day-counting rule used by the term structure
should be used for calculating the passed time t.
*/
Probability defaultProbability(Time t,
bool extrapolate = false) const;
//! probability of default between two given dates
Probability defaultProbability(const Date&,
const Date&,
bool extrapolate = false) const;
//! probability of default between two given times
Probability defaultProbability(Time,
Time,
bool extrapo = false) const;
//@}
/*! \name Default densities
These methods return the default density at a given date or time.
In the latter case, the time is calculated as a fraction of year
from the reference date.
*/
//@{
Real defaultDensity(const Date& d,
bool extrapolate = false) const;
Real defaultDensity(Time t,
bool extrapolate = false) const;
//@}
/*! \name Hazard rates
These methods returns the hazard rate at a given date or time.
In the latter case, the time is calculated as a fraction of year
from the reference date.
Hazard rates are defined with annual frequency and continuous
compounding.
*/
//@{
Rate hazardRate(const Date& d,
bool extrapolate = false) const;
Rate hazardRate(Time t,
bool extrapolate = false) const;
//@}
//! \name Jump inspectors
//@{
const std::vector<Date>& jumpDates() const;
const std::vector<Time>& jumpTimes() const;
//@}
//! \name Observer interface
//@{
void update();
//@}
protected:
/*! \name Calculations
These methods must be implemented in derived classes to
perform the actual calculations. When they are called,
range check has already been performed; therefore, they
must assume that extrapolation is required.
*/
//@{
//! survival probability calculation
virtual Probability survivalProbabilityImpl(Time) const = 0;
//! default density calculation
virtual Real defaultDensityImpl(Time) const = 0;
//@}
private:
// methods
void setJumps();
// data members
std::vector<Handle<Quote> > jumps_;
std::vector<Date> jumpDates_;
std::vector<Time> jumpTimes_;
Size nJumps_;
Date latestReference_;
};
// inline definitions
inline
Probability DefaultProbabilityTermStructure::survivalProbability(
const Date& d,
bool extrapolate) const {
return survivalProbability(timeFromReference(d), extrapolate);
}
inline
Probability DefaultProbabilityTermStructure::defaultProbability(
const Date& d,
bool extrapolate) const {
return 1.0 - survivalProbability(d, extrapolate);
}
inline
Probability DefaultProbabilityTermStructure::defaultProbability(
Time t,
bool extrapolate) const {
return 1.0 - survivalProbability(t, extrapolate);
}
inline
Real DefaultProbabilityTermStructure::defaultDensity(
const Date& d,
bool extrapolate) const {
return defaultDensity(timeFromReference(d), extrapolate);
}
inline
Real DefaultProbabilityTermStructure::defaultDensity(
Time t,
bool extrapolate) const {
checkRange(t, extrapolate);
return defaultDensityImpl(t);
}
inline
Rate DefaultProbabilityTermStructure::hazardRate(const Date& d,
bool extrapolate) const {
return hazardRate(timeFromReference(d), extrapolate);
}
inline
Rate DefaultProbabilityTermStructure::hazardRate(Time t,
bool extrapolate) const {
Probability S = survivalProbability(t, extrapolate);
return S == 0.0 ? 0.0 : defaultDensity(t, extrapolate)/S;
}
inline
const std::vector<Date>&
DefaultProbabilityTermStructure::jumpDates() const {
return this->jumpDates_;
}
inline
const std::vector<Time>&
DefaultProbabilityTermStructure::jumpTimes() const {
return this->jumpTimes_;
}
inline void DefaultProbabilityTermStructure::update() {
TermStructure::update();
if (referenceDate() != latestReference_)
setJumps();
}
}
#endif
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