Class DefaultProbabilityTermStructure

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

The default-probability term structure: the base of the credit curves that give survival and default probabilities, default densities and hazard rates.

public abstract class DefaultProbabilityTermStructure : TermStructure

Inheritance

object

Extrapolator

TermStructure

DefaultProbabilityTermStructure

Derived

DefaultDensityStructure

HazardRateStructure

PiecewiseDefaultCurve<TTraits, TInterpolator, TBootstrap>

SurvivalProbabilityStructure

Inherited Members

TermStructure.TimeFromReference(Date)

TermStructure.CheckRange(Date, bool)

TermStructure.CheckRange(double, bool)

TermStructure.ReferenceDate

TermStructure.DayCounter

TermStructure.Calendar

TermStructure.SettlementDays

TermStructure.MaxDate

TermStructure.MaxTime

Extrapolator.AllowsExtrapolation

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods

ExtrapolatorExtensions.DisableExtrapolation<T>(T, bool)

ExtrapolatorExtensions.EnableExtrapolation<T>(T, bool)

Remarks

An extension point. Every built structure has a fixed reference date: QuantLib's constructor that takes neither a reference date nor settlement days is the reference-date form, and the settlement-days form takes the reference date its concrete class's Create computed from the evaluation context.

QuantLib's jumps are quotes; here they are values, each multiplying the survival probabilities past its date, and each checked to lie in (0, 1] when a probability reads it, with QuantLib's "invalid … jump value".

Constructors

DefaultProbabilityTermStructure(Date, Calendar?, DayCounter, int?, IEnumerable<double>?, IEnumerable<Date>?)

Initializes a new instance of the DefaultProbabilityTermStructure class with a fixed reference date.

protected DefaultProbabilityTermStructure(Date referenceDate, Calendar? cal, DayCounter dc, int? settlementDays = null, IEnumerable<double>? jumps = null, IEnumerable<Date>? jumpDates = null)

Parameters

referenceDate Date

The reference date.

cal Calendar

The calendar used for reference and option date calculation, if any.

dc DayCounter

The day counter used for date/time conversion.

settlementDays int?

The settlement days the reference date was calculated with, if any.

jumps IEnumerable<double>

The survival-probability jumps, each applied to the probabilities past its date; none when null.

jumpDates IEnumerable<Date>

The jumps' dates, one per jump; when null or empty, the jumps fall on 31 December of the reference date's year and of the years after it, one per jump.

Exceptions

ArgumentNullException

dc is null.

ArgumentException

Jump dates are given and their number differs from the jumps', or one of them is default(Date).

Methods

DefaultDensity(Date, bool)

The default density at a date.

public double DefaultDensity(Date d, bool extrapolate = false)

Parameters

d Date

The date.

extrapolate bool

Whether to extrapolate past the curve's maximum date.

Returns

double

The density.

Exceptions

ArgumentException

d is default(Date).

NanoQLException

The date is out of the curve's range.

DefaultDensity(double, bool)

The default density at a time.

public double DefaultDensity(double t, bool extrapolate = false)

Parameters

t double

The time.

extrapolate bool

Whether to extrapolate past the curve's maximum time.

Returns

double

The density.

Exceptions

NanoQLException

The time is out of the curve's range.

DefaultDensityImpl(double)

The default density at a time, which derived curves calculate. Range checks have already been performed, so it must assume that extrapolation is required.

protected abstract double DefaultDensityImpl(double t)

Parameters

t double

The time.

Returns

double

The density.

DefaultProbability(Date, Date, bool)

The probability of default between two dates.

public double DefaultProbability(Date d1, Date d2, bool extrapolate = false)

Parameters

d1 Date

The initial date, which may precede the reference date: the probability of default before it is taken as null, so that a protection rolled to the next business day still starts at its date.

d2 Date

The final date.

extrapolate bool

Whether to extrapolate past the curve's maximum date.

Returns

double

The probability.

Exceptions

ArgumentException

A date is default(Date), or d1 is after d2.

NanoQLException

A date is out of the curve's range, or a jump isn't in (0, 1].

DefaultProbability(Date, bool)

The probability of default from the reference date to a date.

public double DefaultProbability(Date d, bool extrapolate = false)

Parameters

d Date

The date.

extrapolate bool

Whether to extrapolate past the curve's maximum date.

Returns

double

The probability.

Exceptions

ArgumentException

d is default(Date).

NanoQLException

The date is out of the curve's range, or a jump before it isn't in (0, 1].

DefaultProbability(double, bool)

The probability of default from the reference date to a time.

public double DefaultProbability(double t, bool extrapolate = false)

Parameters

t double

The time.

extrapolate bool

Whether to extrapolate past the curve's maximum time.

Returns

double

The probability.

Exceptions

NanoQLException

The time is out of the curve's range, or a jump before it isn't in (0, 1].

DefaultProbability(double, double, bool)

The probability of default between two times.

public double DefaultProbability(double t1, double t2, bool extrapolate = false)

Parameters

t1 double

The initial time, which may be negative: the probability of default before the reference date is taken as null.

t2 double

The final time.

extrapolate bool

Whether to extrapolate past the curve's maximum time.

Returns

double

The probability.

Exceptions

ArgumentException

t1 is after t2.

NanoQLException

A time is out of the curve's range, or a jump isn't in (0, 1].

HazardRate(Date, bool)

The hazard rate at a date, with annual frequency and continuous compounding.

public double HazardRate(Date d, bool extrapolate = false)

Parameters

d Date

The date.

extrapolate bool

Whether to extrapolate past the curve's maximum date.

Returns

double

The rate.

Exceptions

ArgumentException

d is default(Date).

NanoQLException

The date is out of the curve's range.

HazardRate(double, bool)

The hazard rate at a time, with annual frequency and continuous compounding.

public double HazardRate(double t, bool extrapolate = false)

Parameters

t double

The time.

extrapolate bool

Whether to extrapolate past the curve's maximum time.

Returns

double

The rate.

Exceptions

NanoQLException

The time is out of the curve's range.

HazardRateImpl(double)

The hazard rate at a time: by default the default density over the survival probability, 0 where the probability is. Derived curves may override it with a more efficient calculation.

protected virtual double HazardRateImpl(double t)

Parameters

t double

The time.

Returns

double

The rate.

JumpDates()

The dates of the survival-probability jumps, one per jump.

public virtual ImmutableArray<Date> JumpDates()

Returns

ImmutableArray<Date>

The dates, empty for a curve without jumps.

JumpTimes()

The times of the survival-probability jumps, measured from the reference date by the curve's day counter.

public virtual ImmutableArray<double> JumpTimes()

Returns

ImmutableArray<double>

The times, one per jump, empty for a curve without jumps.

SurvivalProbability(Date, bool)

The probability of survival from the reference date to a date.

public double SurvivalProbability(Date d, bool extrapolate = false)

Parameters

d Date

The date.

extrapolate bool

Whether to extrapolate past the curve's maximum date.

Returns

double

The probability.

Exceptions

ArgumentException

d is default(Date).

NanoQLException

The date is out of the curve's range, or a jump before it isn't in (0, 1].

SurvivalProbability(double, bool)

The probability of survival from the reference date to a time, measured by the curve's day counter.

public double SurvivalProbability(double t, bool extrapolate = false)

Parameters

t double

The time.

extrapolate bool

Whether to extrapolate past the curve's maximum time.

Returns

double

The probability.

Exceptions

NanoQLException

The time is out of the curve's range, or a jump before it isn't in (0, 1].

SurvivalProbabilityImpl(double)

The survival probability at a time, which derived curves calculate. Range checks have already been performed, so it must assume that extrapolation is required.

protected abstract double SurvivalProbabilityImpl(double t)

Parameters

t double

The time.

Returns

double

The probability.