Options
All
  • Public
  • Public/Protected
  • All
Menu

Default-probability structure with an additive spread on hazard rates

note

This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.

Hierarchy

Implements

Index

Constructors

constructor

Properties

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_isDisposed

_isDisposed: boolean = false

_jumpDates

_jumpDates: Date[]

_jumpTimes

_jumpTimes: Time[]

_jumps

_jumps: Array<Handle<Quote>>

_latestReference

_latestReference: Date

_moving

_moving: boolean

_nJumps

_nJumps: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _originalCurve

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

Private _spread

_spread: Handle<Quote>

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean
    • Returns boolean

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void
    • Returns void

disableExtrapolation

disableExtrapolation: (b?: boolean) => void

Type declaration

    • (b?: boolean): void
    • Parameters

      • Optional b: boolean

      Returns void

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

enableExtrapolation

enableExtrapolation: (b?: boolean) => void

Type declaration

    • (b?: boolean): void
    • Parameters

      • Optional b: boolean

      Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

calendar

checkRange1

  • checkRange1(d: Date, extrapolate: boolean): void
  • date-range check

    Parameters

    • d: Date
    • extrapolate: boolean

    Returns void

checkRange2

  • checkRange2(t: Time, extrapolate: boolean): void
  • time-range check

    Parameters

    • t: Time
    • extrapolate: boolean

    Returns void

dayCounter

defaultDensity1

  • defaultDensity1(d: Date, extrapolate?: boolean): Real
  • 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.

    Parameters

    • d: Date
    • Default value extrapolate: boolean = false

    Returns Real

defaultDensity2

  • defaultDensity2(t: Time, extrapolate?: boolean): Real

defaultDensityImpl

defaultProbability1

  • defaultProbability1(d: Date, extrapolate?: boolean): Probability
  • 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.

    Parameters

    • d: Date
    • Default value extrapolate: boolean = false

    Returns Probability

defaultProbability2

defaultProbability3

  • defaultProbability3(d1: Date, d2: Date, extrapolate?: boolean): Probability

defaultProbability4

dptInit1

dptInit2

dptInit3

hazardRate1

  • hazardRate1(d: Date, extrapolate?: boolean): Rate
  • 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.

    Parameters

    • d: Date
    • Default value extrapolate: boolean = false

    Returns Rate

hazardRate2

  • hazardRate2(t: Time, extrapolate?: boolean): Rate

hazardRateImpl

hrsInit1

hrsInit2

hrsInit3

jumpDates

  • jumpDates(): Date[]

jumpTimes

  • jumpTimes(): Time[]

maxDate

  • maxDate(): Date
  • Returns Date

maxTime

referenceDate

  • referenceDate(): Date

setJumps

  • setJumps(): void

settlementDays

survivalProbability1

  • survivalProbability1(d: Date, extrapolate?: boolean): Probability
  • 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.

    Parameters

    • d: Date
    • Default value extrapolate: boolean = false

    Returns Probability

survivalProbability2

survivalProbabilityImpl

  • survival probability calculation

    implemented in terms of the hazard rate $ h(t) $ as $$ S(t) = \exp\left( - \int_0^t h(\tau) d\tau \right). $$

    warning This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.

    Parameters

    Returns Probability

timeFromReference

  • timeFromReference(d: Date): Time

tsInit1

tsInit2

tsInit3

update

  • update(): void