Safe Haskell	None
Language	Haskell2010

QuantLib.TermStructure.Credit

Synopsis

data ProbabilityTrait
- = SurvivalProbability
- | HazardRate
- | DefaultDensity
type DefaultProbabilityTermStructure = GenTermStructure CDefaultProbabilityTermStructure
data DefaultProbabilityHelper
factorSpreadedHazardRateCurve :: DefaultProbabilityTermStructure -> GenQuote a -> IO DefaultProbabilityTermStructure
flatHazardRate' :: Word -> Calendar -> GenQuote a -> DayCounter -> IO DefaultProbabilityTermStructure
flatHazardRate :: Day -> GenQuote a -> DayCounter -> IO DefaultProbabilityTermStructure
spreadedHazardRateCurve :: DefaultProbabilityTermStructure -> GenQuote a -> IO DefaultProbabilityTermStructure
defaultProbability :: DefaultProbabilityTermStructure -> Day -> Bool -> IO Double
hazardRate' :: DefaultProbabilityTermStructure -> Double -> Bool -> IO Double
hazardRate :: DefaultProbabilityTermStructure -> Day -> Bool -> IO Double
survivalProbability' :: DefaultProbabilityTermStructure -> Double -> Bool -> IO Double
survivalProbability :: DefaultProbabilityTermStructure -> Day -> Bool -> IO Double
defaultDensity' :: DefaultProbabilityTermStructure -> Double -> Bool -> IO Double
defaultDensity :: DefaultProbabilityTermStructure -> Day -> Bool -> IO Double
defaultProbability' :: DefaultProbabilityTermStructure -> Double -> Bool -> IO Double
defaultProbabilityBetween :: DefaultProbabilityTermStructure -> Day -> Day -> Bool -> IO Double
defaultProbabilityBetween' :: DefaultProbabilityTermStructure -> Double -> Double -> Bool -> IO Double
spreadCdsHelper :: GenQuote a -> (Word, TimeUnit) -> Int -> Calendar -> Frequency -> BusinessDayConvention -> DateGenerationRule -> DayCounter -> Double -> GenYieldTermStructure b -> Bool -> Bool -> IO DefaultProbabilityHelper
upfrontCdsHelper :: GenQuote a -> Double -> (Word, TimeUnit) -> Int -> Calendar -> Frequency -> BusinessDayConvention -> DateGenerationRule -> DayCounter -> Double -> GenYieldTermStructure b -> Word -> Bool -> Bool -> IO DefaultProbabilityHelper
interpolatedDefaultDensityCurve :: [(Day, Double)] -> DayCounter -> Calendar -> [(Day, GenQuote a)] -> Interpolation -> IO DefaultProbabilityTermStructure
interpolatedHazardRateCurve :: [(Day, Double)] -> DayCounter -> Calendar -> [(Day, GenQuote a)] -> Interpolation -> IO DefaultProbabilityTermStructure
interpolatedSurvivalProbabilityCurve :: [(Day, Double)] -> DayCounter -> Calendar -> [(Day, GenQuote a)] -> Interpolation -> IO DefaultProbabilityTermStructure
piecewiseDefaultCurve :: Day -> [DefaultProbabilityHelper] -> DayCounter -> [(Day, GenQuote a)] -> ProbabilityTrait -> Interpolation -> IO DefaultProbabilityTermStructure
piecewiseDefaultCurve' :: Word -> Calendar -> [DefaultProbabilityHelper] -> DayCounter -> [(Day, GenQuote a)] -> ProbabilityTrait -> Interpolation -> IO DefaultProbabilityTermStructure

Documentation

data ProbabilityTrait #

Constructors

SurvivalProbability
HazardRate
DefaultDensity

Instances

Instances details

Enum ProbabilityTrait #
Instance details Defined in QuantLib.TermStructure.Credit Methods succ :: ProbabilityTrait -> ProbabilityTrait # pred :: ProbabilityTrait -> ProbabilityTrait # toEnum :: Int -> ProbabilityTrait # fromEnum :: ProbabilityTrait -> Int # enumFrom :: ProbabilityTrait -> [ProbabilityTrait] # enumFromThen :: ProbabilityTrait -> ProbabilityTrait -> [ProbabilityTrait] # enumFromTo :: ProbabilityTrait -> ProbabilityTrait -> [ProbabilityTrait] # enumFromThenTo :: ProbabilityTrait -> ProbabilityTrait -> ProbabilityTrait -> [ProbabilityTrait] #
Show ProbabilityTrait #
Instance details Defined in QuantLib.TermStructure.Credit Methods showsPrec :: Int -> ProbabilityTrait -> ShowS # show :: ProbabilityTrait -> String # showList :: [ProbabilityTrait] -> ShowS #
Eq ProbabilityTrait #
Instance details Defined in QuantLib.TermStructure.Credit Methods (==) :: ProbabilityTrait -> ProbabilityTrait -> Bool # (/=) :: ProbabilityTrait -> ProbabilityTrait -> Bool #

type DefaultProbabilityTermStructure = GenTermStructure CDefaultProbabilityTermStructure #

data DefaultProbabilityHelper #

factorSpreadedHazardRateCurve :: DefaultProbabilityTermStructure -> GenQuote a -> IO DefaultProbabilityTermStructure #

flatHazardRate' :: Word -> Calendar -> GenQuote a -> DayCounter -> IO DefaultProbabilityTermStructure #

flatHazardRate :: Day -> GenQuote a -> DayCounter -> IO DefaultProbabilityTermStructure #

spreadedHazardRateCurve :: DefaultProbabilityTermStructure -> GenQuote a -> IO DefaultProbabilityTermStructure #

defaultProbability #

Arguments

:: DefaultProbabilityTermStructure
-> Day
-> Bool	extrapolate
-> IO Double

hazardRate' #

Arguments

:: DefaultProbabilityTermStructure
-> Double
-> Bool	extrapolate
-> IO Double

hazardRate #

Arguments

:: DefaultProbabilityTermStructure
-> Day
-> Bool	extrapolate
-> IO Double

The same day-counting rule used by the term structure should be used for calculating the passed time t.

survivalProbability' #

Arguments

:: DefaultProbabilityTermStructure
-> Double
-> Bool	extrapolate
-> IO Double

survivalProbability #

Arguments

:: DefaultProbabilityTermStructure
-> Day
-> Bool	extrapolate
-> IO Double

defaultDensity' #

Arguments

:: DefaultProbabilityTermStructure
-> Double
-> Bool	extrapolate
-> IO Double

defaultDensity #

Arguments

:: DefaultProbabilityTermStructure
-> Day
-> Bool	extrapolate
-> IO Double

The same day-counting rule used by the term structure should be used for calculating the passed time t.

defaultProbability' #

Arguments

:: DefaultProbabilityTermStructure
-> Double
-> Bool	extrapolate
-> IO Double

probability of default between two given dates

defaultProbabilityBetween #

Arguments

:: DefaultProbabilityTermStructure
-> Day
-> Day
-> Bool	extrapolate
-> IO Double

probability of default between two given times

defaultProbabilityBetween' #

Arguments

:: DefaultProbabilityTermStructure
-> Double
-> Double
-> Bool	extrapolate
-> IO Double

spreadCdsHelper #

Arguments

:: GenQuote a	runningSpread
-> (Word, TimeUnit)	tenor
-> Int	settlementDays
-> Calendar
-> Frequency
-> BusinessDayConvention
-> DateGenerationRule
-> DayCounter
-> Double
-> GenYieldTermStructure b	discountCurve
-> Bool	settlesAccrual
-> Bool	paysAtDefaultTime
-> IO DefaultProbabilityHelper

upfrontCdsHelper #

Arguments

:: GenQuote a	upfront
-> Double	runningSpread
-> (Word, TimeUnit)	tenor
-> Int	settlementDays
-> Calendar
-> Frequency
-> BusinessDayConvention
-> DateGenerationRule
-> DayCounter
-> Double	recoveryDate
-> GenYieldTermStructure b	discountCurve
-> Word	upfrontSettlementDays
-> Bool
-> Bool	paysAtDefaultTime
-> IO DefaultProbabilityHelper

the upfront must be quoted in fractional units.

interpolatedDefaultDensityCurve #

Arguments

:: [(Day, Double)]
-> DayCounter
-> Calendar
-> [(Day, GenQuote a)]	jumps
-> Interpolation
-> IO DefaultProbabilityTermStructure

interpolatedHazardRateCurve #

Arguments

:: [(Day, Double)]
-> DayCounter
-> Calendar
-> [(Day, GenQuote a)]	jumps
-> Interpolation
-> IO DefaultProbabilityTermStructure

interpolatedSurvivalProbabilityCurve #

Arguments

:: [(Day, Double)]
-> DayCounter
-> Calendar
-> [(Day, GenQuote a)]	jumps
-> Interpolation
-> IO DefaultProbabilityTermStructure

piecewiseDefaultCurve #

Arguments

:: Day
-> [DefaultProbabilityHelper]
-> DayCounter
-> [(Day, GenQuote a)]	jumps
-> ProbabilityTrait
-> Interpolation
-> IO DefaultProbabilityTermStructure

piecewiseDefaultCurve' #

Arguments

:: Word
-> Calendar
-> [DefaultProbabilityHelper]
-> DayCounter
-> [(Day, GenQuote a)]	jumps
-> ProbabilityTrait
-> Interpolation
-> IO DefaultProbabilityTermStructure