Table of Contents

Class SurvivalProbabilityStructure

Namespace
NanoQL.TermStructures
Assembly
NanoQL.dll

The survival-probability term structure: an adapter that lets a derived curve implement the survival probability, from which the default densities and hazard rates follow.

public abstract class SurvivalProbabilityStructure : DefaultProbabilityTermStructure
Inheritance
SurvivalProbabilityStructure
Derived
Inherited Members
Extension Methods

Remarks

An extension point.

Constructors

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

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

protected SurvivalProbabilityStructure(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, if any.

dc DayCounter

The day counter.

settlementDays int?

The settlement days the reference date was calculated with, 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

dc is null.

ArgumentException

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

Methods

DefaultDensityImpl(double)

The default density at a time: minus the survival probability's derivative, by a central difference over 0.0001 either side (one-sided at 0). QuantLib warns that this numerical differentiation "might be inefficient and inaccurate"; derived curves may override it.

protected override double DefaultDensityImpl(double t)

Parameters

t double

The time.

Returns

double

The density.