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Class InterpolatedDefaultDensityCurve

DefaultProbabilityTermStructure based on interpolation of default densities

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

_calendar

_calendar: Calendar

_data

_data: Real[]

_dates

_dates: Date[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_interpolation

_interpolation: Interpolation

_interpolator

_interpolator: Interpolator

_isDisposed

_isDisposed: boolean = false

_jumpDates

_jumpDates: Date[]

_jumpTimes

_jumpTimes: Time[]

_jumps

_jumps: Array<Handle<Quote>>

_latestReference

_latestReference: Date

_maxDate

_maxDate: Date

_moving

_moving: boolean

_nJumps

_nJumps: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_times

_times: Time[]

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean

    • Returns boolean

calendar

calendar: () => Calendar

Type declaration

checkRange1

checkRange1: (d: Date, extrapolate: boolean) => void

Type declaration

    • (d: Date, extrapolate: boolean): void

    • Parameters

      • d: Date
      • extrapolate: boolean

      Returns void

checkRange2

checkRange2: (t: Time, extrapolate: boolean) => void

Type declaration

    • (t: Time, extrapolate: boolean): void

    • Parameters

      • t: Time
      • extrapolate: boolean

      Returns void

dayCounter

dayCounter: () => DayCounter

Type declaration

ddsInit1

ddsInit1: (dc?: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => DefaultDensityStructure

Type declaration

ddsInit2

ddsInit2: (referenceDate: Date, calendar?: Calendar, dc?: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => DefaultDensityStructure

Type declaration

ddsInit3

ddsInit3: (settlementDays: Natural, calendar: Calendar, dc?: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => DefaultDensityStructure

Type declaration

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

defaultDensity1

defaultDensity1: (d: Date, extrapolate: boolean) => Real

Type declaration

    • (d: Date, extrapolate: boolean): Real

    • Parameters

      • d: Date
      • extrapolate: boolean

      Returns Real

defaultDensity2

defaultDensity2: (t: Time, extrapolate: boolean) => Real

Type declaration

    • Parameters

      • t: Time
      • extrapolate: boolean

      Returns Real

defaultProbability1

defaultProbability1: (d: Date, extrapolate: boolean) => Probability

Type declaration

defaultProbability2

defaultProbability2: (t: Time, extrapolate: boolean) => Probability

Type declaration

defaultProbability3

defaultProbability3: (d1: Date, d2: Date, extrapolate: boolean) => Probability

Type declaration

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

    • Parameters

      • d1: Date
      • d2: Date
      • extrapolate: boolean

      Returns Probability

defaultProbability4

defaultProbability4: (t1: Time, t2: Time, extrapolate: boolean) => Probability

Type declaration

disableExtrapolation

disableExtrapolation: (b: boolean) => void

Type declaration

    • (b: boolean): void

    • Parameters

      • b: boolean

      Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

dptInit1

dptInit1: (dc?: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => DefaultProbabilityTermStructure

Type declaration

dptInit2

dptInit2: (referenceDate: Date, calendar?: Calendar, dc?: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => DefaultProbabilityTermStructure

Type declaration

dptInit3

dptInit3: (settlementDays: Natural, calendar: Calendar, dc?: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => DefaultProbabilityTermStructure

Type declaration

enableExtrapolation

enableExtrapolation: (b: boolean) => void

Type declaration

    • (b: boolean): void

    • Parameters

      • b: boolean

      Returns void

hazardRate1

hazardRate1: (d: Date, extrapolate: boolean) => Rate

Type declaration

    • (d: Date, extrapolate: boolean): Rate

    • Parameters

      • d: Date
      • extrapolate: boolean

      Returns Rate

hazardRate2

hazardRate2: (t: Time, extrapolate: boolean) => Rate

Type declaration

    • Parameters

      • t: Time
      • extrapolate: boolean

      Returns Rate

icInit1

icInit1: (times: Time[], data: Real[], i: Interpolator) => InterpolatedCurve

Type declaration

icInit2

icInit2: (times: Time[], i: Interpolator) => InterpolatedCurve

Type declaration

icInit3

icInit3: (n: Size, i: Interpolator) => InterpolatedCurve

Type declaration

icInit4

icInit4: (i: Interpolator) => InterpolatedCurve

Type declaration

icInit5

icInit5: (i: InterpolatedCurve) => InterpolatedCurve

Type declaration

isDisposed

isDisposed: boolean

jumpDates

jumpDates: () => Date[]

Type declaration

    • (): Date[]

    • Returns Date[]

jumpTimes

jumpTimes: () => Time[]

Type declaration

maxTime

maxTime: () => Time

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

referenceDate

referenceDate: () => Date

Type declaration

    • (): Date

    • Returns Date

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

setJumps

setJumps: () => void

Type declaration

    • (): void

    • Returns void

settlementDays

settlementDays: () => Natural

Type declaration

setupInterpolation

setupInterpolation: () => void

Type declaration

    • (): void

    • Returns void

survivalProbability1

survivalProbability1: (d: Date, extrapolate: boolean) => Probability

Type declaration

survivalProbability2

survivalProbability2: (t: Time, extrapolate: boolean) => Probability

Type declaration

timeFromReference

timeFromReference: (date: Date) => Time

Type declaration

    • (date: Date): Time

    • Parameters

      • date: Date

      Returns Time

tsInit1

tsInit1: (dc: DayCounter) => TermStructure

Type declaration

tsInit2

tsInit2: (referenceDate: Date, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

tsInit3

tsInit3: (settlementDays: Natural, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

update

update: () => void

Type declaration

    • (): void

    • Returns void

Methods

curveInit1

  • Parameters

    • dates: Date[]
    • densities: Rate[]
    • dayCounter: DayCounter
    • Default value cal: Calendar = new Calendar()
    • Default value jumps: Array<Handle<Quote>> = []
    • Default value jumpDates: Date[] = []

    Returns DefaultCurve

curveInit2

  • Parameters

    Returns DefaultCurve

curveInit3

  • Parameters

    Returns DefaultCurve

curveInit4

  • Parameters

    • dayCounter: DayCounter
    • Default value jumps: Array<Handle<Quote>> = []
    • Default value jumpDates: Date[] = []

    Returns DefaultCurve

curveInit5

  • Parameters

    • referenceDate: Date
    • dayCounter: DayCounter
    • Default value jumps: Array<Handle<Quote>> = []
    • Default value jumpDates: Date[] = []

    Returns DefaultCurve

curveInit6

  • Parameters

    Returns DefaultCurve

data

  • Returns Real[]

dates

  • dates(): Date[]

  • Returns Date[]

defaultDensities

  • defaultDensities(): Rate[]

  • Returns Rate[]

defaultDensityImpl

Private initialize

  • initialize(): void

  • Returns void

maxDate

  • maxDate(): Date

nodes

  • nodes(): Array<[Date, Real]>

  • Returns Array<[Date, Real]>

survivalProbabilityImpl

times

  • Returns Time[]