Class SurvivalProbabilityCurve

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

The survival-probability curve with linear interpolation: QuantLib-Python's SurvivalProbabilityCurve, QuantLib's InterpolatedSurvivalProbabilityCurve<Linear>.

public sealed class SurvivalProbabilityCurve : InterpolatedSurvivalProbabilityCurve<Linear>, IInterpolatedCurve<SurvivalProbability, Linear>

Inheritance

object

Extrapolator

TermStructure

DefaultProbabilityTermStructure

SurvivalProbabilityStructure

InterpolatedSurvivalProbabilityCurve<Linear>

SurvivalProbabilityCurve

Implements

IInterpolatedCurve<SurvivalProbability, Linear>

Inherited Members

InterpolatedSurvivalProbabilityCurve<Linear>.Times()

InterpolatedSurvivalProbabilityCurve<Linear>.Dates()

InterpolatedSurvivalProbabilityCurve<Linear>.Data()

InterpolatedSurvivalProbabilityCurve<Linear>.SurvivalProbabilities()

InterpolatedSurvivalProbabilityCurve<Linear>.Nodes()

InterpolatedSurvivalProbabilityCurve<Linear>.MaxDate

DefaultProbabilityTermStructure.SurvivalProbability(Date, bool)

DefaultProbabilityTermStructure.SurvivalProbability(double, bool)

DefaultProbabilityTermStructure.DefaultProbability(Date, bool)

DefaultProbabilityTermStructure.DefaultProbability(double, bool)

DefaultProbabilityTermStructure.DefaultProbability(Date, Date, bool)

DefaultProbabilityTermStructure.DefaultProbability(double, double, bool)

DefaultProbabilityTermStructure.DefaultDensity(Date, bool)

DefaultProbabilityTermStructure.DefaultDensity(double, bool)

DefaultProbabilityTermStructure.HazardRate(Date, bool)

DefaultProbabilityTermStructure.HazardRate(double, bool)

DefaultProbabilityTermStructure.JumpDates()

DefaultProbabilityTermStructure.JumpTimes()

TermStructure.TimeFromReference(Date)

TermStructure.ReferenceDate

TermStructure.DayCounter

TermStructure.Calendar

TermStructure.SettlementDays

TermStructure.MaxTime

Extrapolator.AllowsExtrapolation

object.GetType()

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)

Constructors

SurvivalProbabilityCurve(IEnumerable<Date>, IEnumerable<double>, DayCounter, Calendar?, IEnumerable<double>?, IEnumerable<Date>?)

Initializes a new instance of the SurvivalProbabilityCurve class.

public SurvivalProbabilityCurve(IEnumerable<Date> dates, IEnumerable<double> probabilities, DayCounter dayCounter, Calendar? calendar = null, IEnumerable<double>? jumps = null, IEnumerable<Date>? jumpDates = null)

Parameters

dates IEnumerable<Date>

The nodes' dates, sorted, the first one the reference date.

probabilities IEnumerable<double>

The survival probabilities at the nodes, one per date, the first 1.

dayCounter DayCounter

The day counter.

calendar Calendar

The calendar, if any.

jumps IEnumerable<double>

The survival-probability jumps; none when null.

jumpDates IEnumerable<Date>

The jumps' dates; at the turns of the years when null or empty.

Exceptions

ArgumentNullException

dates, probabilities or dayCounter is null.

ArgumentException

The inputs are refused as InterpolatedSurvivalProbabilityCurve<TInterpolator> refuses them.