InterpolatedSurvivalProbabilityCurve

Hierarchy

SurvivalProbabilityStructureInterpolatedCurve
- InterpolatedSurvivalProbabilityCurve

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new InterpolatedSurvivalProbabilityCurve(interpolator?: Interpolator): InterpolatedSurvivalProbabilityCurve

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:17
Parameters
- Default value interpolator: Interpolator = null
Returns InterpolatedSurvivalProbabilityCurve

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

- (): Calendar
- Returns Calendar

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

- (): DayCounter
- Returns DayCounter

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

- (t: Time, extrapolate: boolean): Real
- Parameters
  - t: Time
  - extrapolate: boolean
  Returns Real

defaultProbability1

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

Type declaration

- (d: Date, extrapolate: boolean): Probability
- Parameters
  - d: Date
  - extrapolate: boolean
  Returns Probability

defaultProbability2

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

Type declaration

- (t: Time, extrapolate: boolean): Probability
- Parameters
  - t: Time
  - extrapolate: boolean
  Returns Probability

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

- (t1: Time, t2: Time, extrapolate: boolean): Probability
- Parameters
  - t1: Time
  - t2: Time
  - extrapolate: boolean
  Returns Probability

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

- (dc: DayCounter, jumps: Array<Handle<Quote>>, jumpDates: Date[]): DefaultProbabilityTermStructure
- Parameters
  - dc: DayCounter
  - jumps: Array<Handle<Quote>>
  - jumpDates: Date[]
  Returns DefaultProbabilityTermStructure

dptInit2

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

Type declaration

- (referenceDate: Date, calendar: Calendar, dc: DayCounter, jumps: Array<Handle<Quote>>, jumpDates: Date[]): DefaultProbabilityTermStructure
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dc: DayCounter
  - jumps: Array<Handle<Quote>>
  - jumpDates: Date[]
  Returns DefaultProbabilityTermStructure

dptInit3

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

Type declaration

- (settlementDays: Natural, calendar: Calendar, dc: DayCounter, jumps: Array<Handle<Quote>>, jumpDates: Date[]): DefaultProbabilityTermStructure
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - dc: DayCounter
  - jumps: Array<Handle<Quote>>
  - jumpDates: Date[]
  Returns DefaultProbabilityTermStructure

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

- (t: Time, extrapolate: boolean): Rate
- Parameters
  - t: Time
  - extrapolate: boolean
  Returns Rate

icInit1

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

Type declaration

- (times: Time[], data: Real[], i: Interpolator): InterpolatedCurve
- Parameters
  - times: Time[]
  - data: Real[]
  - i: Interpolator
  Returns InterpolatedCurve

isDisposed

isDisposed: boolean

jumpDates

jumpDates: () => Date[]

Type declaration

- (): Date[]
- Returns Date[]

jumpTimes

jumpTimes: () => Time[]

Type declaration

- (): Time[]
- Returns Time[]

maxTime

maxTime: () => Time

Type declaration

- (): Time
- Returns Time

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

referenceDate

referenceDate: () => Date

Type declaration

- (): Date
- Returns Date

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

setJumps

setJumps: () => void

Type declaration

- (): void
- Returns void

settlementDays

settlementDays: () => Natural

Type declaration

- (): Natural
- Returns Natural

setupInterpolation

setupInterpolation: () => void

Type declaration

- (): void
- Returns void

survivalProbability1

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

Type declaration

- (d: Date, extrapolate: boolean): Probability
- Parameters
  - d: Date
  - extrapolate: boolean
  Returns Probability

survivalProbability2

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

Type declaration

- (t: Time, extrapolate: boolean): Probability
- Parameters
  - t: Time
  - extrapolate: boolean
  Returns Probability

timeFromReference

timeFromReference: (date: Date) => Time

Type declaration

- (date: Date): Time
- Parameters
  - date: Date
  Returns Time

tsInit1

tsInit1: (dc: DayCounter) => TermStructure

Type declaration

- (dc: DayCounter): TermStructure
- Parameters
  - dc: DayCounter
  Returns TermStructure

tsInit2

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

Type declaration

- (referenceDate: Date, calendar: Calendar, dc: DayCounter): TermStructure
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dc: DayCounter
  Returns TermStructure

tsInit3

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

Type declaration

- (settlementDays: Natural, calendar: Calendar, dc: DayCounter): TermStructure
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - dc: DayCounter
  Returns TermStructure

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

update

update: () => void

Type declaration

- (): void
- Returns void

Methods

curveInit1

curveInit1(dates: Date[], densities: Rate[], dayCounter: DayCounter, cal?: Calendar, jumps?: Array<Handle<Quote>>, jumpDates?: Date[], interpolator?: Interpolator): DefaultCurve

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:24
Parameters
- dates: Date[]
- densities: Rate[]
- dayCounter: DayCounter
- Default value cal: Calendar = new Calendar()
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
- Default value interpolator: Interpolator = this._interpolator
Returns DefaultCurve

curveInit2

curveInit2(dates: Date[], densities: Rate[], dayCounter: DayCounter, cal?: Calendar, interpolator?: Interpolator): DefaultCurve

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:37
Parameters
- dates: Date[]
- densities: Rate[]
- dayCounter: DayCounter
- Default value cal: Calendar = new Calendar()
- Default value interpolator: Interpolator = this._interpolator
Returns DefaultCurve

curveInit3

curveInit3(dates: Date[], densities: Rate[], dayCounter: DayCounter, interpolator?: Interpolator): DefaultCurve

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:49
Parameters
- dates: Date[]
- densities: Rate[]
- dayCounter: DayCounter
- Default value interpolator: Interpolator = this._interpolator
Returns DefaultCurve

curveInit4

curveInit4(dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[], interpolator?: Interpolator): DefaultCurve

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:60
Parameters
- dayCounter: DayCounter
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
- Default value interpolator: Interpolator = this._interpolator
Returns DefaultCurve

curveInit5

curveInit5(referenceDate: Date, dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[], interpolator?: Interpolator): DefaultCurve

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:71
Parameters
- referenceDate: Date
- dayCounter: DayCounter
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
- Default value interpolator: Interpolator = this._interpolator
Returns DefaultCurve

curveInit6

curveInit6(settlementDays: Natural, calendar: Calendar, dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[], interpolator?: Interpolator): DefaultCurve

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:82
Parameters
- settlementDays: Natural
- calendar: Calendar
- dayCounter: DayCounter
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
- Default value interpolator: Interpolator = this._interpolator
Returns DefaultCurve

data

data(): Real[]

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:104
Returns Real[]

dates

dates(): Date[]

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:100
Returns Date[]

defaultDensityImpl

defaultDensityImpl(t: Time): Real

Overrides SurvivalProbabilityStructureInterpolatedCurve.defaultDensityImpl
- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:120
Parameters
- t: Time
Returns Real

Private initialize

initialize(): void

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:144
Returns void

maxDate

maxDate(): Date

Overrides SurvivalProbabilityStructureInterpolatedCurve.maxDate
- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:92
Returns Date

nodes

nodes(): Array<[Date, Real]>

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:112
Returns Array<[Date, Real]>

survivalProbabilities

survivalProbabilities(): Rate[]

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:108
Returns Rate[]

survivalProbabilityImpl

survivalProbabilityImpl(t: Time): Probability

Overrides SurvivalProbabilityStructureInterpolatedCurve.survivalProbabilityImpl
- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:132
Parameters
- t: Time
Returns Probability

times

times(): Time[]

- Defined in ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.ts:96
Returns Time[]

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

Default value interpolator: Interpolator = null

Returns InterpolatedSurvivalProbabilityCurve

Properties

_calendar

_data

_dates

_dayCounter

_extrapolate

_interpolation

_interpolator

_isDisposed

_jumpDates

_jumpTimes

_jumps

_latestReference

_maxDate

_moving

_nJumps

_observables

_observers

_referenceDate

_settlementDays

_times

_updated

allowsExtrapolation

Type declaration

Returns boolean

calendar

Type declaration

Returns Calendar

checkRange1

Type declaration

Parameters

d: Date

extrapolate: boolean

Returns void

checkRange2

Type declaration

Parameters

t: Time

extrapolate: boolean

Returns void

dayCounter

Type declaration

Returns DayCounter

deepUpdate

Type declaration

Returns void

defaultDensity1

Type declaration

Parameters

d: Date

extrapolate: boolean

Returns Real

defaultDensity2

Type declaration

Parameters

t: Time

extrapolate: boolean

Returns Real

defaultProbability1

Type declaration

Parameters

d: Date

extrapolate: boolean

Returns Probability

defaultProbability2

Type declaration

Parameters

t: Time

extrapolate: boolean