PiecewiseDefaultCurve

Piecewise default-probability term structure

This term structure is bootstrapped on a number of credit instruments which are passed as a vector of handles to DefaultProbabilityHelper instances. Their maturities mark the boundaries of the interpolated segments.

Each segment is determined sequentially starting from the earliest period to the latest and is chosen so that the instrument whose maturity marks the end of such segment is correctly repriced on the curve.

warning The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.

Hierarchy

DefaultTermStructureInterpolatedCurveLazyObject
- PiecewiseDefaultCurve

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new PiecewiseDefaultCurve(traits: Traits, interpolator: Interpolator, bootstrap?: IterativeBootstrap | LocalBootstrap): PiecewiseDefaultCurve

- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:37
Parameters
- traits: Traits
- interpolator: Interpolator
- Default value bootstrap: IterativeBootstrap | LocalBootstrap = new IterativeBootstrap(traits, interpolator)
Returns PiecewiseDefaultCurve

Properties

_accuracy

_accuracy: Real

_alwaysForward

_alwaysForward: boolean = false

_base_curve

_base_curve: DefaultCurve

_bootstrap

_bootstrap: IterativeBootstrap | LocalBootstrap

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

_data

_data: Real[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean = false

_frozen

_frozen: boolean = false

_instruments

_instruments: BootstrapHelper[]

_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[]

_traits

_traits: Traits

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

- (): boolean
- Returns boolean

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

- (): void
- Returns void

calculate

calculate: () => void

Type declaration

- (): void
- Returns void

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

curveInit1

curveInit1: (dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter, calendar?: Calendar, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => DefaultCurve

Type declaration

- (dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter, calendar?: Calendar, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): DefaultCurve
- Parameters
  - dates: Date[]
  - dfs: DiscountFactor[]
  - dayCounter: DayCounter
  - Optional calendar: Calendar
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns DefaultCurve

curveInit2

curveInit2: (dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter, calendar: Calendar) => DefaultCurve

Type declaration

- (dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter, calendar: Calendar): DefaultCurve
- Parameters
  - dates: Date[]
  - dfs: DiscountFactor[]
  - dayCounter: DayCounter
  - calendar: Calendar
  Returns DefaultCurve

curveInit3

curveInit3: (dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter) => DefaultCurve

Type declaration

- (dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter): DefaultCurve
- Parameters
  - dates: Date[]
  - dfs: DiscountFactor[]
  - dayCounter: DayCounter
  Returns DefaultCurve

curveInit4

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

Type declaration

- (dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): DefaultCurve
- Parameters
  - dayCounter: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns DefaultCurve

curveInit5

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

Type declaration

- (referenceDate: Date, dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): DefaultCurve
- Parameters
  - referenceDate: Date
  - dayCounter: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns DefaultCurve

curveInit6

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

Type declaration

- (settlementDays: Natural, calendar: Calendar, dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): DefaultCurve
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - dayCounter: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns DefaultCurve

curveInit7

curveInit7: (referenceDate: Date, dayCounter: DayCounter, model: OneFactorAffineModel, jumps?: Array<Handle<Quote>>, jumpDates?: Date[], interpolator?: Interpolator) => DefaultCurve

Type declaration

- (referenceDate: Date, dayCounter: DayCounter, model: OneFactorAffineModel, jumps?: Array<Handle<Quote>>, jumpDates?: Date[], interpolator?: Interpolator): DefaultCurve
- Parameters
  - referenceDate: Date
  - dayCounter: DayCounter
  - model: OneFactorAffineModel
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  - Optional interpolator: Interpolator
  Returns DefaultCurve

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
  - Optional extrapolate: boolean
  Returns Real

defaultDensity2

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

Type declaration

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

defaultProbability1

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

Type declaration

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

defaultProbability2

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

Type declaration

- (t: Time, extrapolate?: boolean): Probability
- Parameters
  - t: Time
  - Optional 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
  - Optional 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
  - Optional 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

freeze

freeze: () => void

Type declaration

- (): void
- Returns void

hazardRate1

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

Type declaration

- (d: Date, extrapolate?: boolean): Rate
- Parameters
  - d: Date
  - Optional extrapolate: boolean
  Returns Rate

hazardRate2

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

Type declaration

- (t: Time, extrapolate?: boolean): Rate
- Parameters
  - t: Time
  - Optional 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[]
  - Optional 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

recalculate

recalculate: () => 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
  - Optional extrapolate: boolean
  Returns Probability

survivalProbability2

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

Type declaration

- (t: Time, extrapolate?: boolean): Probability
- Parameters
  - t: Time
  - Optional 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

unfreeze

unfreeze: () => void

Type declaration

- (): void
- Returns void

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

Methods

data

data(): Real[]

Implementation of DefaultCurve.data

Overrides DefaultTermStructureInterpolatedCurveLazyObject.data
- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:155
Returns Real[]

dates

dates(): Date[]

Implementation of DefaultCurve.dates

Overrides DefaultTermStructureInterpolatedCurveLazyObject.dates
- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:150
Returns Date[]

defaultDensityImpl

defaultDensityImpl(t: Time): Real

Implementation of DefaultCurve.defaultDensityImpl

Overrides DefaultTermStructureInterpolatedCurveLazyObject.defaultDensityImpl
- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:187
Parameters
- t: Time
Returns Real

hazardRateImpl

hazardRateImpl(t: Time): Real

Implementation of DefaultCurve.hazardRateImpl
- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:192
Parameters
- t: Time
Returns Real

maxDate

maxDate(): Date

Implementation of DefaultCurve.maxDate

Overrides DefaultTermStructureInterpolatedCurveLazyObject.maxDate
- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:140
Returns Date

nodes

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

Implementation of DefaultCurve.nodes

Overrides DefaultTermStructureInterpolatedCurveLazyObject.nodes
- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:160
Returns Array<[Date, Real]>

performCalculations

performCalculations(): void

Overrides DefaultTermStructureInterpolatedCurveLazyObject.performCalculations
- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:177
Returns void

pwdcInit1

pwdcInit1(referenceDate: Date, instruments: BootstrapHelper[], dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[], accuracy?: Real): PiecewiseDefaultCurve

- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:50
Parameters
- referenceDate: Date
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
- Default value accuracy: Real = 1e-12
Returns PiecewiseDefaultCurve

pwdcInit2

pwdcInit2(referenceDate: Date, instruments: BootstrapHelper[], dayCounter: DayCounter, accuracy?: Real): PiecewiseDefaultCurve

- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:63
Parameters
- referenceDate: Date
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
- Default value accuracy: Real = 1e-12
Returns PiecewiseDefaultCurve

pwdcInit3

pwdcInit3(referenceDate: Date, instruments: BootstrapHelper[], dayCounter: DayCounter): PiecewiseDefaultCurve

- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:75
Parameters
- referenceDate: Date
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
Returns PiecewiseDefaultCurve

pwdcInit4

pwdcInit4(settlementDays: Natural, calendar: Calendar, instruments: BootstrapHelper[], dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[], accuracy?: Real): PiecewiseDefaultCurve

- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:87
Parameters
- settlementDays: Natural
- calendar: Calendar
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
- Default value accuracy: Real = 1e-12
Returns PiecewiseDefaultCurve

pwdcInit5

pwdcInit5(settlementDays: Natural, calendar: Calendar, instruments: BootstrapHelper[], dayCounter: DayCounter, accuracy?: Real): PiecewiseDefaultCurve

- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:102
Parameters
- settlementDays: Natural
- calendar: Calendar
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
- Default value accuracy: Real = 1e-12
Returns PiecewiseDefaultCurve

pwdcInit6

pwdcInit6(settlementDays: Natural, calendar: Calendar, instruments: BootstrapHelper[], dayCounter: DayCounter): PiecewiseDefaultCurve

- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:115
Parameters
- settlementDays: Natural
- calendar: Calendar
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
Returns PiecewiseDefaultCurve

pwdcInit7

pwdcInit7(referenceDate: Date, instruments: BootstrapHelper[], dayCounter: DayCounter, accuracy?: Real, model: OneFactorAffineModel): PiecewiseDefaultCurve

- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:128
Parameters
- referenceDate: Date
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
- Default value accuracy: Real = 1e-12
- model: OneFactorAffineModel
Returns PiecewiseDefaultCurve

survivalProbabilityImpl

survivalProbabilityImpl(t: Time): Probability

Implementation of DefaultCurve.survivalProbabilityImpl

Overrides DefaultTermStructureInterpolatedCurveLazyObject.survivalProbabilityImpl
- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:182
Parameters
- t: Time
Returns Probability

times

times(): Time[]

Implementation of DefaultCurve.times

Overrides DefaultTermStructureInterpolatedCurveLazyObject.times
- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:145
Returns Time[]

update

update(): void

Implementation of DefaultCurve.update

Overrides DefaultTermStructureInterpolatedCurveLazyObject.update
- Defined in ql/termstructures/credit/piecewisedefaultcurve.ts:165
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

traits: Traits

interpolator: Interpolator

Default value bootstrap: IterativeBootstrap | LocalBootstrap = new IterativeBootstrap(traits, interpolator)

Returns PiecewiseDefaultCurve

Properties

_accuracy

_alwaysForward

_base_curve

_bootstrap

_calculated

_calendar

_data

_dayCounter

_extrapolate

_frozen

_instruments

_interpolation

_interpolator

_isDisposed

_jumpDates

_jumpTimes

_jumps

_latestReference

_maxDate

_moving

_nJumps

_observables

_observers

_referenceDate

_settlementDays

_times

_traits

_updated

allowsExtrapolation

Type declaration

Returns boolean

alwaysForwardNotifications

Type declaration

Returns void

calculate

Type declaration

Returns void

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

curveInit1

Type declaration

Parameters

dates: Date[]

dfs: DiscountFactor[]

dayCounter: DayCounter

Optional calendar: Calendar

Optional jumps: Array<Handle<Quote>>

Optional jumpDates: Date[]

Returns DefaultCurve

curveInit2

Type declaration

Parameters

dates: Date[]