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    1 -- GENERATED by C->Haskell Compiler, version 0.28.8 Switcheroo, 25 November 2017 (Haskell)
    2 -- Edit the ORIGNAL .chs file instead!
    3 
    4 
    5 module QuantLib.TermStructure.Credit
    6   (
    7     -- * Types
    8     -- ** Curves and helpers
    9     GenDefaultProbabilityTermStructure
   10   , DefaultProbabilityTermStructure
   11   , AffineHazardRateCurve
   12   , DefaultProbabilityHelper
   13 
   14     -- ** Coordinates
   15   , Reference(..)
   16   , TermPoint(..)
   17   , TermInterval(..)
   18 
   19     -- ** Bootstrap configuration
   20   , ProbabilityTrait(..)
   21   , IterativeBootstrapOpts(..)
   22 
   23     -- * Constructors
   24     -- ** Flat and spreaded curves
   25   , factorSpreadedHazardRateCurve
   26   , flatHazardRate
   27   , spreadedHazardRateCurve
   28     -- ** Helpers and bootstrapped curves
   29   , spreadCdsHelper
   30   , upfrontCdsHelper
   31   , interpolatedDefaultDensityCurve
   32   , interpolatedHazardRateCurve
   33   , interpolatedAffineHazardRateCurve
   34   , interpolatedSurvivalProbabilityCurve
   35   , defaultIterativeBootstrapOpts
   36   , piecewiseDefaultCurve
   37 
   38     -- * Inspectors
   39   , defaultProbability
   40   , hazardRate
   41   , survivalProbability
   42   , defaultDensity
   43   , defaultProbabilityBetween
   44   , conditionalSurvivalProbability
   45   , impliedQuote
   46   , impliedQuoteOn
   47   ) where
   48 import qualified Foreign.C.Types as C2HSImp
   49 import qualified Foreign.ForeignPtr as C2HSImp
   50 import qualified Foreign.Marshal.Utils as C2HSImp
   51 import qualified Foreign.Ptr as C2HSImp
   52 
   53 
   54 
   55 
   56 
   57 
   58 
   59 import QuantLib.Internal
   60 import QuantLib.Instrument(PricingModel)
   61 import QuantLib.Internal.Type
   62 import QuantLib.Time.Schedule(DateGenerationRule, Frequency)
   63 import QuantLib.Internal.Common
   64 import QuantLib.TermStructure (Reference(..), TermPoint(..), TermInterval(..), setExtrapolation)
   65 import Data.List.NonEmpty(NonEmpty, toList)
   66 
   67 data ProbabilityTrait = SurvivalProbability
   68                       | HazardRate
   69                       | DefaultDensity
   70   deriving (Show,Eq,Read)
   71 instance Enum ProbabilityTrait where
   72   succ SurvivalProbability = HazardRate
   73   succ HazardRate = DefaultDensity
   74   succ DefaultDensity = error "ProbabilityTrait.succ: DefaultDensity has no successor"
   75 
   76   pred HazardRate = SurvivalProbability
   77   pred DefaultDensity = HazardRate
   78   pred SurvivalProbability = error "ProbabilityTrait.pred: SurvivalProbability has no predecessor"
   79 
   80   enumFromTo from to = go from
   81     where
   82       end = fromEnum to
   83       go v = case compare (fromEnum v) end of
   84                  LT -> v : go (succ v)
   85                  EQ -> [v]
   86                  GT -> []
   87 
   88   enumFrom from = enumFromTo from DefaultDensity
   89 
   90   fromEnum SurvivalProbability = 0
   91   fromEnum HazardRate = 1
   92   fromEnum DefaultDensity = 2
   93 
   94   toEnum 0 = SurvivalProbability
   95   toEnum 1 = HazardRate
   96   toEnum 2 = DefaultDensity
   97   toEnum unmatched = error ("ProbabilityTrait.toEnum: Cannot match " ++ show unmatched)
   98 
   99 
  100 
  101 
  102 
  103 
  104 
  105 
  106 
  107 
  108 
  109 
  110 
  111 
  112 
  113 
  114 
  115 
  116 -- |a curve whose hazard rate is another curve's, scaled by a spread factor
  117 factorSpreadedHazardRateCurve :: (GenDefaultProbabilityTermStructure d) -> (GenQuote q) -> IO ((DefaultProbabilityTermStructure))
  118 factorSpreadedHazardRateCurve a1 a2 =
  119   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  120   withQuote a2 $ \a2' -> 
  121   preErrorCheck $ \a3' -> 
  122   factorSpreadedHazardRateCurve'_ a1' a2' a3' >>= \res ->
  123   peekDefaultProbabilityTermStructure res >>= \res' ->
  124   errorCheck  a3'>>
  125   return (res')
  126 
  127 
  128 
  129 -- |Flat hazard-rate curve with either a fixed or evaluation-date-relative reference point.
  130 flatHazardRate :: Reference -> GenQuote q -> DayCounter -> IO DefaultProbabilityTermStructure
  131 flatHazardRate (ReferenceDate d) = flatHazardRateFixed d
  132 flatHazardRate (SettlementDays n cal) = flatHazardRateMovingRaw n cal
  133 flatHazardRateMovingRaw :: (Word) -> (Calendar) -> (GenQuote q) -> (DayCounter) -> IO ((DefaultProbabilityTermStructure))
  134 flatHazardRateMovingRaw a1 a2 a3 a4 =
  135   let {a1' = fromIntegral a1} in 
  136   withCalendar a2 $ \a2' -> 
  137   withQuote a3 $ \a3' -> 
  138   withDayCounter a4 $ \a4' -> 
  139   preErrorCheck $ \a5' -> 
  140   flatHazardRateMovingRaw'_ a1' a2' a3' a4' a5' >>= \res ->
  141   peekDefaultProbabilityTermStructure res >>= \res' ->
  142   errorCheck  a5'>>
  143   return (res')
  144 
  145 
  146 flatHazardRateFixed :: (Day) -> (GenQuote q) -> (DayCounter) -> IO ((DefaultProbabilityTermStructure))
  147 flatHazardRateFixed a1 a2 a3 =
  148   withDay a1 $ \a1' -> 
  149   withQuote a2 $ \a2' -> 
  150   withDayCounter a3 $ \a3' -> 
  151   preErrorCheck $ \a4' -> 
  152   flatHazardRateFixed'_ a1' a2' a3' a4' >>= \res ->
  153   peekDefaultProbabilityTermStructure res >>= \res' ->
  154   errorCheck  a4'>>
  155   return (res')
  156 
  157 
  158 
  159 -- |a curve whose survival probability is another curve's, multiplied by a spread factor
  160 spreadedHazardRateCurve :: (GenDefaultProbabilityTermStructure d) -> (GenQuote q) -> IO ((DefaultProbabilityTermStructure))
  161 spreadedHazardRateCurve a1 a2 =
  162   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  163   withQuote a2 $ \a2' -> 
  164   preErrorCheck $ \a3' -> 
  165   spreadedHazardRateCurve'_ a1' a2' a3' >>= \res ->
  166   peekDefaultProbabilityTermStructure res >>= \res' ->
  167   errorCheck  a3'>>
  168   return (res')
  169 
  170 
  171 
  172 defaultProbabilityAtDateRaw :: (GenDefaultProbabilityTermStructure d) -> (Day) -> (Bool) -- ^extrapolate
  173  -> IO ((Double))
  174 defaultProbabilityAtDateRaw a1 a2 a3 =
  175   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  176   withDay a2 $ \a2' -> 
  177   let {a3' = C2HSImp.fromBool a3} in 
  178   preErrorCheck $ \a4' -> 
  179   defaultProbabilityAtDateRaw'_ a1' a2' a3' a4' >>= \res ->
  180   let {res' = realToFrac res} in
  181   errorCheck  a4'>>
  182   return (res')
  183 
  184 
  185 
  186 hazardRateAtTimeRaw :: (GenDefaultProbabilityTermStructure d) -> (Double) -> (Bool) -- ^extrapolate
  187  -> IO ((Double))
  188 hazardRateAtTimeRaw a1 a2 a3 =
  189   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  190   let {a2' = realToFrac a2} in 
  191   let {a3' = C2HSImp.fromBool a3} in 
  192   preErrorCheck $ \a4' -> 
  193   hazardRateAtTimeRaw'_ a1' a2' a3' a4' >>= \res ->
  194   let {res' = realToFrac res} in
  195   errorCheck  a4'>>
  196   return (res')
  197 
  198 
  199 
  200 hazardRateAtDateRaw :: (GenDefaultProbabilityTermStructure d) -> (Day) -> (Bool) -- ^extrapolate
  201  -> IO ((Double))
  202 hazardRateAtDateRaw a1 a2 a3 =
  203   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  204   withDay a2 $ \a2' -> 
  205   let {a3' = C2HSImp.fromBool a3} in 
  206   preErrorCheck $ \a4' -> 
  207   hazardRateAtDateRaw'_ a1' a2' a3' a4' >>= \res ->
  208   let {res' = realToFrac res} in
  209   errorCheck  a4'>>
  210   return (res')
  211 
  212 
  213 
  214 survivalProbabilityAtTimeRaw :: (GenDefaultProbabilityTermStructure d) -> (Double) -> (Bool) -- ^extrapolate
  215  -> IO ((Double))
  216 survivalProbabilityAtTimeRaw a1 a2 a3 =
  217   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  218   let {a2' = realToFrac a2} in 
  219   let {a3' = C2HSImp.fromBool a3} in 
  220   preErrorCheck $ \a4' -> 
  221   survivalProbabilityAtTimeRaw'_ a1' a2' a3' a4' >>= \res ->
  222   let {res' = realToFrac res} in
  223   errorCheck  a4'>>
  224   return (res')
  225 
  226 
  227 
  228 survivalProbabilityAtDateRaw :: (GenDefaultProbabilityTermStructure d) -> (Day) -> (Bool) -- ^extrapolate
  229  -> IO ((Double))
  230 survivalProbabilityAtDateRaw a1 a2 a3 =
  231   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  232   withDay a2 $ \a2' -> 
  233   let {a3' = C2HSImp.fromBool a3} in 
  234   preErrorCheck $ \a4' -> 
  235   survivalProbabilityAtDateRaw'_ a1' a2' a3' a4' >>= \res ->
  236   let {res' = realToFrac res} in
  237   errorCheck  a4'>>
  238   return (res')
  239 
  240 
  241 
  242 defaultDensityAtTimeRaw :: (GenDefaultProbabilityTermStructure d) -> (Double) -> (Bool) -- ^extrapolate
  243  -> IO ((Double))
  244 defaultDensityAtTimeRaw a1 a2 a3 =
  245   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  246   let {a2' = realToFrac a2} in 
  247   let {a3' = C2HSImp.fromBool a3} in 
  248   preErrorCheck $ \a4' -> 
  249   defaultDensityAtTimeRaw'_ a1' a2' a3' a4' >>= \res ->
  250   let {res' = realToFrac res} in
  251   errorCheck  a4'>>
  252   return (res')
  253 
  254 
  255 
  256 defaultDensityAtDateRaw :: (GenDefaultProbabilityTermStructure d) -> (Day) -> (Bool) -- ^extrapolate
  257  -> IO ((Double))
  258 defaultDensityAtDateRaw a1 a2 a3 =
  259   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  260   withDay a2 $ \a2' -> 
  261   let {a3' = C2HSImp.fromBool a3} in 
  262   preErrorCheck $ \a4' -> 
  263   defaultDensityAtDateRaw'_ a1' a2' a3' a4' >>= \res ->
  264   let {res' = realToFrac res} in
  265   errorCheck  a4'>>
  266   return (res')
  267 
  268 
  269 
  270 defaultProbabilityAtTimeRaw :: (GenDefaultProbabilityTermStructure d) -> (Double) -> (Bool) -- ^extrapolate
  271  -> IO ((Double))
  272 defaultProbabilityAtTimeRaw a1 a2 a3 =
  273   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  274   let {a2' = realToFrac a2} in 
  275   let {a3' = C2HSImp.fromBool a3} in 
  276   preErrorCheck $ \a4' -> 
  277   defaultProbabilityAtTimeRaw'_ a1' a2' a3' a4' >>= \res ->
  278   let {res' = realToFrac res} in
  279   errorCheck  a4'>>
  280   return (res')
  281 
  282 
  283 
  284 defaultProbabilityBetweenDatesRaw :: (GenDefaultProbabilityTermStructure d) -> (Day) -> (Day) -> (Bool) -- ^extrapolate
  285  -> IO ((Double))
  286 defaultProbabilityBetweenDatesRaw a1 a2 a3 a4 =
  287   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  288   withDay a2 $ \a2' -> 
  289   withDay a3 $ \a3' -> 
  290   let {a4' = C2HSImp.fromBool a4} in 
  291   preErrorCheck $ \a5' -> 
  292   defaultProbabilityBetweenDatesRaw'_ a1' a2' a3' a4' a5' >>= \res ->
  293   let {res' = realToFrac res} in
  294   errorCheck  a5'>>
  295   return (res')
  296 
  297 
  298 
  299 defaultProbabilityBetweenTimesRaw :: (GenDefaultProbabilityTermStructure d) -> (Double) -> (Double) -> (Bool) -- ^extrapolate
  300  -> IO ((Double))
  301 defaultProbabilityBetweenTimesRaw a1 a2 a3 a4 =
  302   withDefaultProbabilityTermStructure a1 $ \a1' -> 
  303   let {a2' = realToFrac a2} in 
  304   let {a3' = realToFrac a3} in 
  305   let {a4' = C2HSImp.fromBool a4} in 
  306   preErrorCheck $ \a5' -> 
  307   defaultProbabilityBetweenTimesRaw'_ a1' a2' a3' a4' a5' >>= \res ->
  308   let {res' = realToFrac res} in
  309   errorCheck  a5'>>
  310   return (res')
  311 
  312 
  313 
  314 -- |Hazard rate at a date or year fraction, with annual frequency and continuous compounding.
  315 hazardRate :: GenDefaultProbabilityTermStructure d -> TermPoint -> Bool -> IO Double
  316 hazardRate curve point = case point of
  317   DatePoint d -> hazardRateAtDateRaw curve d
  318   TimePoint t -> hazardRateAtTimeRaw curve t
  319 
  320 -- |Survival probability from the reference point to a date or year fraction.
  321 survivalProbability :: GenDefaultProbabilityTermStructure d -> TermPoint -> Bool -> IO Double
  322 survivalProbability curve point = case point of
  323   DatePoint d -> survivalProbabilityAtDateRaw curve d
  324   TimePoint t -> survivalProbabilityAtTimeRaw curve t
  325 
  326 -- |Default density at a date or year fraction.
  327 defaultDensity :: GenDefaultProbabilityTermStructure d -> TermPoint -> Bool -> IO Double
  328 defaultDensity curve point = case point of
  329   DatePoint d -> defaultDensityAtDateRaw curve d
  330   TimePoint t -> defaultDensityAtTimeRaw curve t
  331 
  332 -- |Default probability from the reference point to a date or year fraction.
  333 defaultProbability :: GenDefaultProbabilityTermStructure d -> TermPoint -> Bool -> IO Double
  334 defaultProbability curve point = case point of
  335   DatePoint d -> defaultProbabilityAtDateRaw curve d
  336   TimePoint t -> defaultProbabilityAtTimeRaw curve t
  337 
  338 -- |Default probability over a same-representation date or year-fraction interval.
  339 defaultProbabilityBetween :: GenDefaultProbabilityTermStructure d -> TermInterval -> Bool -> IO Double
  340 defaultProbabilityBetween curve interval = case interval of
  341   DateInterval d1 d2 -> defaultProbabilityBetweenDatesRaw curve d1 d2
  342   TimeInterval t1 t2 -> defaultProbabilityBetweenTimesRaw curve t1 t2
  343 
  344 conditionalSurvivalProbabilityAtDatesRaw :: (AffineHazardRateCurve) -> (Day) -> (Day) -> (Double) -> (Bool) -- ^extrapolate
  345  -> IO ((Double))
  346 conditionalSurvivalProbabilityAtDatesRaw a1 a2 a3 a4 a5 =
  347   withAffineHazardRateCurve a1 $ \a1' -> 
  348   withDay a2 $ \a2' -> 
  349   withDay a3 $ \a3' -> 
  350   let {a4' = realToFrac a4} in 
  351   let {a5' = C2HSImp.fromBool a5} in 
  352   preErrorCheck $ \a6' -> 
  353   conditionalSurvivalProbabilityAtDatesRaw'_ a1' a2' a3' a4' a5' a6' >>= \res ->
  354   let {res' = realToFrac res} in
  355   errorCheck  a6'>>
  356   return (res')
  357 
  358 
  359 
  360 conditionalSurvivalProbabilityAtTimesRaw :: (AffineHazardRateCurve) -> (Double) -> (Double) -> (Double) -> (Bool) -- ^extrapolate
  361  -> IO ((Double))
  362 conditionalSurvivalProbabilityAtTimesRaw a1 a2 a3 a4 a5 =
  363   withAffineHazardRateCurve a1 $ \a1' -> 
  364   let {a2' = realToFrac a2} in 
  365   let {a3' = realToFrac a3} in 
  366   let {a4' = realToFrac a4} in 
  367   let {a5' = C2HSImp.fromBool a5} in 
  368   preErrorCheck $ \a6' -> 
  369   conditionalSurvivalProbabilityAtTimesRaw'_ a1' a2' a3' a4' a5' a6' >>= \res ->
  370   let {res' = realToFrac res} in
  371   errorCheck  a6'>>
  372   return (res')
  373 
  374 
  375 
  376 -- |Probability of survival to the interval's later point, conditional on survival to its earlier
  377 -- point and on the stochastic hazard-rate component realizing @yVal@ there -- see
  378 -- 'ql/experimental/credit/onefactoraffinesurvival.hpp'.
  379 conditionalSurvivalProbability :: AffineHazardRateCurve -> TermInterval -> Double -- ^yVal
  380   -> Bool -> IO Double
  381 conditionalSurvivalProbability curve interval yVal = case interval of
  382   DateInterval d1 d2 -> conditionalSurvivalProbabilityAtDatesRaw curve d1 d2 yVal
  383   TimeInterval t1 t2 -> conditionalSurvivalProbabilityAtTimesRaw curve t1 t2 yVal
  384 
  385 -- |bootstrap helper for a CDS quoted by running spread
  386 spreadCdsHelper :: (GenQuote q) -- ^runningSpread
  387  -> ((Word,TimeUnit)) -- ^tenor
  388  -> (Int) -- ^settlementDays
  389  -> (Calendar) -> (Frequency) -> (BusinessDayConvention) -> (DateGenerationRule) -> (DayCounter) -> (Double) -- recoveryRate
  390  -> (GenYieldTermStructure y) -- ^discountCurve
  391  -> (Bool) -- ^settlesAccrual
  392  -> (Bool) -- ^paysAtDefaultTime
  393  -> (Maybe Day) -- ^startDate
  394  -> (DayCounter) -- ^lastPeriodDayCounter
  395  -> (Bool) -- ^rebatesAccrual
  396  -> (PricingModel) -- ^model
  397  -> (Maybe Day) -- ^tradeDate (1.44; QuantLib 1.43 requires 'Nothing')
  398  -> IO ((DefaultProbabilityHelper))
  399 spreadCdsHelper a1 a2 a3 a4 a5 a6 a7 a8 a9 a10 a11 a12 a13 a14 a15 a16 a17 =
  400   withQuote a1 $ \a1' -> 
  401   let {(a2'1, a2'2) = fromEnumQuantity a2} in 
  402   let {a3' = fromIntegral a3} in 
  403   withCalendar a4 $ \a4' -> 
  404   let {a5' = (fromIntegral . fromEnum) a5} in 
  405   let {a6' = fromEnumC a6} in 
  406   let {a7' = (fromIntegral . fromEnum) a7} in 
  407   withDayCounter a8 $ \a8' -> 
  408   let {a9' = realToFrac a9} in 
  409   withYieldTermStructure a10 $ \a10' -> 
  410   let {a11' = C2HSImp.fromBool a11} in 
  411   let {a12' = C2HSImp.fromBool a12} in 
  412   withMaybeDay a13 $ \a13' -> 
  413   withDayCounter a14 $ \a14' -> 
  414   let {a15' = C2HSImp.fromBool a15} in 
  415   let {a16' = (fromIntegral . fromEnum) a16} in 
  416   withMaybeDay a17 $ \a17' -> 
  417   preErrorCheck $ \a18' -> 
  418   spreadCdsHelper'_ a1' a2'1  a2'2 a3' a4' a5' a6' a7' a8' a9' a10' a11' a12' a13' a14' a15' a16' a17' a18' >>= \res ->
  419   peekDefaultProbabilityHelper res >>= \res' ->
  420   errorCheck  a18'>>
  421   return (res')
  422 
  423 
  424 
  425 -- |the upfront must be quoted in fractional units.
  426 upfrontCdsHelper :: (GenQuote q) -- ^upfront
  427  -> (Double) -- ^runningSpread
  428  -> ((Word,TimeUnit)) -- ^tenor
  429  -> (Int) -- ^settlementDays
  430  -> (Calendar) -> (Frequency) -> (BusinessDayConvention) -> (DateGenerationRule) -> (DayCounter) -> (Double) -- ^recoveryDate
  431  -> (GenYieldTermStructure y) -- ^discountCurve
  432  -> (Word) -- ^upfrontSettlementDays
  433  -> (Bool) -- &settlesAccrual
  434  -> (Bool) -- ^paysAtDefaultTime
  435  -> (Maybe Day) -- ^startDate
  436  -> (DayCounter) -- ^lastPeriodDayCounter
  437  -> (Bool) -- ^rebatesAccrual
  438  -> (PricingModel) -- ^model
  439  -> (Maybe Day) -- ^tradeDate (1.44; QuantLib 1.43 requires 'Nothing')
  440  -> IO ((DefaultProbabilityHelper))
  441 upfrontCdsHelper a1 a2 a3 a4 a5 a6 a7 a8 a9 a10 a11 a12 a13 a14 a15 a16 a17 a18 a19 =
  442   withQuote a1 $ \a1' -> 
  443   let {a2' = realToFrac a2} in 
  444   let {(a3'1, a3'2) = fromEnumQuantity a3} in 
  445   let {a4' = fromIntegral a4} in 
  446   withCalendar a5 $ \a5' -> 
  447   let {a6' = (fromIntegral . fromEnum) a6} in 
  448   let {a7' = fromEnumC a7} in 
  449   let {a8' = (fromIntegral . fromEnum) a8} in 
  450   withDayCounter a9 $ \a9' -> 
  451   let {a10' = realToFrac a10} in 
  452   withYieldTermStructure a11 $ \a11' -> 
  453   let {a12' = fromIntegral a12} in 
  454   let {a13' = C2HSImp.fromBool a13} in 
  455   let {a14' = C2HSImp.fromBool a14} in 
  456   withMaybeDay a15 $ \a15' -> 
  457   withDayCounter a16 $ \a16' -> 
  458   let {a17' = C2HSImp.fromBool a17} in 
  459   let {a18' = (fromIntegral . fromEnum) a18} in 
  460   withMaybeDay a19 $ \a19' -> 
  461   preErrorCheck $ \a20' -> 
  462   upfrontCdsHelper'_ a1' a2' a3'1  a3'2 a4' a5' a6' a7' a8' a9' a10' a11' a12' a13' a14' a15' a16' a17' a18' a19' a20' >>= \res ->
  463   peekDefaultProbabilityHelper res >>= \res' ->
  464   errorCheck  a20'>>
  465   return (res')
  466 
  467 
  468 
  469 -- |The fair running-spread/upfront quote implied by the helper's current market data and pricing
  470 -- engine -- the value that would make the quoted instrument re-price at par. Requires the helper
  471 -- to have already been used to bootstrap a curve (throws otherwise, per upstream).
  472 impliedQuote :: (DefaultProbabilityHelper) -> IO ((Double))
  473 impliedQuote a1 =
  474   withDefaultProbabilityHelper a1 $ \a1' -> 
  475   preErrorCheck $ \a2' -> 
  476   impliedQuote'_ a1' a2' >>= \res ->
  477   let {res' = realToFrac res} in
  478   errorCheck  a2'>>
  479   return (res')
  480 
  481 
  482 
  483 -- |The quote that would make the helper reprice exactly on the given default-probability curve:
  484 -- a par spread or upfront read with the helper's own conventions on any credit curve.
  485 impliedQuoteOn :: (DefaultProbabilityHelper) -> (GenDefaultProbabilityTermStructure d) -> IO ((Double))
  486 impliedQuoteOn a1 a2 =
  487   withDefaultProbabilityHelper a1 $ \a1' -> 
  488   withDefaultProbabilityTermStructure a2 $ \a2' -> 
  489   preErrorCheck $ \a3' -> 
  490   impliedQuoteOn'_ a1' a2' a3' >>= \res ->
  491   let {res' = realToFrac res} in
  492   errorCheck  a3'>>
  493   return (res')
  494 
  495 
  496 
  497 interpolatedDefaultDensityCurve :: NonEmpty (Day, Double) -> DayCounter -> Calendar -> [(Day, GenQuote q)] -- ^jumps
  498   -> Interpolation -> Bool -> IO DefaultProbabilityTermStructure
  499 interpolatedDefaultDensityCurve d dc c q i ex = do
  500   curve <- uncurryNested (qlInterpolatedDefaultDensityCurve dd dq dc c qq qd) (qlInterpolation i)
  501   setExtrapolation curve ex
  502   pure curve
  503   where (qd, qq) = unzip q
  504         (dd, dq) = unzip (toList d)
  505 
  506 -- |default-probability term structure built by interpolating default densities at given dates
  507 qlInterpolatedDefaultDensityCurve :: ([Day]) -> ([Double]) -> (DayCounter) -> (Calendar) -> ([GenQuote q]) -> ([Day]) -> (Int) -> (Int) -> (Int) -> IO ((DefaultProbabilityTermStructure))
  508 qlInterpolatedDefaultDensityCurve a1 a2 a3 a4 a5 a6 a7 a8 a9 =
  509   withDayArray a1 $ \(a1'1, a1'2) -> 
  510   withDoubleArray a2 $ \(a2'1, a2'2) -> 
  511   withDayCounter a3 $ \a3' -> 
  512   withCalendar a4 $ \a4' -> 
  513   withQuoteArray a5 $ \(a5'1, a5'2) -> 
  514   withDayArray a6 $ \(a6'1, a6'2) -> 
  515   let {a7' = fromIntegral a7} in 
  516   let {a8' = fromIntegral a8} in 
  517   let {a9' = fromIntegral a9} in 
  518   preErrorCheck $ \a10' -> 
  519   qlInterpolatedDefaultDensityCurve'_ a1'1  a1'2 a2'1  a2'2 a3' a4' a5'1  a5'2 a6'1  a6'2 a7' a8' a9' a10' >>= \res ->
  520   peekDefaultProbabilityTermStructure res >>= \res' ->
  521   errorCheck  a10'>>
  522   return (res')
  523 
  524 
  525 
  526 interpolatedHazardRateCurve :: NonEmpty (Day, Double) -> DayCounter -> Calendar -> [(Day, GenQuote q)] -- ^jumps
  527   -> Interpolation
  528   -> Bool -- ^extrapolate past the curve's max date
  529   -> IO DefaultProbabilityTermStructure
  530 interpolatedHazardRateCurve d dc c q i ex = uncurryNested (qlInterpolatedHazardRateCurve dd dq dc c qq qd) (qlInterpolation i) ex where {(qd, qq) = unzip q; (dd, dq) = unzip (toList d)}
  531 
  532 -- |default-probability term structure built by interpolating hazard rates at given dates
  533 qlInterpolatedHazardRateCurve :: ([Day]) -> ([Double]) -> (DayCounter) -> (Calendar) -> ([GenQuote q]) -> ([Day]) -> (Int) -> (Int) -> (Int) -> (Bool) -> IO ((DefaultProbabilityTermStructure))
  534 qlInterpolatedHazardRateCurve a1 a2 a3 a4 a5 a6 a7 a8 a9 a10 =
  535   withDayArray a1 $ \(a1'1, a1'2) -> 
  536   withDoubleArray a2 $ \(a2'1, a2'2) -> 
  537   withDayCounter a3 $ \a3' -> 
  538   withCalendar a4 $ \a4' -> 
  539   withQuoteArray a5 $ \(a5'1, a5'2) -> 
  540   withDayArray a6 $ \(a6'1, a6'2) -> 
  541   let {a7' = fromIntegral a7} in 
  542   let {a8' = fromIntegral a8} in 
  543   let {a9' = fromIntegral a9} in 
  544   let {a10' = C2HSImp.fromBool a10} in 
  545   preErrorCheck $ \a11' -> 
  546   qlInterpolatedHazardRateCurve'_ a1'1  a1'2 a2'1  a2'2 a3' a4' a5'1  a5'2 a6'1  a6'2 a7' a8' a9' a10' a11' >>= \res ->
  547   peekDefaultProbabilityTermStructure res >>= \res' ->
  548   errorCheck  a11'>>
  549   return (res')
  550 
  551 
  552 
  553 -- |Hazard-rate curve interpolated deterministically between nodes, combined with a one-factor
  554 -- affine short-rate model's stochastic discount mechanics -- see
  555 -- 'ql/experimental/credit/interpolatedaffinehazardratecurve.hpp'.
  556 interpolatedAffineHazardRateCurve :: NonEmpty (Day, Double) -> DayCounter -> GenOneFactorAffineModel om -> Calendar -> [(Day, GenQuote q)] -- ^jumps
  557   -> Interpolation
  558   -> Bool -- ^extrapolate past the curve's max date
  559   -> IO AffineHazardRateCurve
  560 interpolatedAffineHazardRateCurve d dc m c q i ex =
  561   uncurryNested (qlInterpolatedAffineHazardRateCurve dd dq dc m c qq qd) (qlInterpolation i) ex
  562   where {(qd, qq) = unzip q; (dd, dq) = unzip (toList d)}
  563 
  564 qlInterpolatedAffineHazardRateCurve :: ([Day]) -> ([Double]) -> (DayCounter) -> (GenOneFactorAffineModel om) -> (Calendar) -> ([GenQuote q]) -> ([Day]) -> (Int) -> (Int) -> (Int) -> (Bool) -> IO ((AffineHazardRateCurve))
  565 qlInterpolatedAffineHazardRateCurve a1 a2 a3 a4 a5 a6 a7 a8 a9 a10 a11 =
  566   withDayArray a1 $ \(a1'1, a1'2) -> 
  567   withDoubleArray a2 $ \(a2'1, a2'2) -> 
  568   withDayCounter a3 $ \a3' -> 
  569   withOneFactorAffineModel a4 $ \a4' -> 
  570   withCalendar a5 $ \a5' -> 
  571   withQuoteArray a6 $ \(a6'1, a6'2) -> 
  572   withDayArray a7 $ \(a7'1, a7'2) -> 
  573   let {a8' = fromIntegral a8} in 
  574   let {a9' = fromIntegral a9} in 
  575   let {a10' = fromIntegral a10} in 
  576   let {a11' = C2HSImp.fromBool a11} in 
  577   preErrorCheck $ \a12' -> 
  578   qlInterpolatedAffineHazardRateCurve'_ a1'1  a1'2 a2'1  a2'2 a3' a4' a5' a6'1  a6'2 a7'1  a7'2 a8' a9' a10' a11' a12' >>= \res ->
  579   peekAffineHazardRateCurve res >>= \res' ->
  580   errorCheck  a12'>>
  581   return (res')
  582 
  583 
  584 
  585 interpolatedSurvivalProbabilityCurve :: NonEmpty (Day, Double) -> DayCounter -> Calendar -> [(Day, GenQuote q)] -- ^jumps
  586   -> Interpolation -> Bool -> IO DefaultProbabilityTermStructure
  587 interpolatedSurvivalProbabilityCurve d dc c q i ex = do
  588   curve <- uncurryNested (qlInterpolatedSurvivalProbabilityCurve dd dq dc c qq qd) (qlInterpolation i)
  589   setExtrapolation curve ex
  590   pure curve
  591   where (qd, qq) = unzip q
  592         (dd, dq) = unzip (toList d)
  593 
  594 -- |default-probability term structure built by interpolating survival probabilities at given dates
  595 qlInterpolatedSurvivalProbabilityCurve :: ([Day]) -> ([Double]) -> (DayCounter) -> (Calendar) -> ([GenQuote q]) -> ([Day]) -> (Int) -> (Int) -> (Int) -> IO ((DefaultProbabilityTermStructure))
  596 qlInterpolatedSurvivalProbabilityCurve a1 a2 a3 a4 a5 a6 a7 a8 a9 =
  597   withDayArray a1 $ \(a1'1, a1'2) -> 
  598   withDoubleArray a2 $ \(a2'1, a2'2) -> 
  599   withDayCounter a3 $ \a3' -> 
  600   withCalendar a4 $ \a4' -> 
  601   withQuoteArray a5 $ \(a5'1, a5'2) -> 
  602   withDayArray a6 $ \(a6'1, a6'2) -> 
  603   let {a7' = fromIntegral a7} in 
  604   let {a8' = fromIntegral a8} in 
  605   let {a9' = fromIntegral a9} in 
  606   preErrorCheck $ \a10' -> 
  607   qlInterpolatedSurvivalProbabilityCurve'_ a1'1  a1'2 a2'1  a2'2 a3' a4' a5'1  a5'2 a6'1  a6'2 a7' a8' a9' a10' >>= \res ->
  608   peekDefaultProbabilityTermStructure res >>= \res' ->
  609   errorCheck  a10'>>
  610   return (res')
  611 
  612 
  613 
  614 -- QuantLib uses Null<Real>() rather than a number for these defaults.
  615 nullableDouble :: Maybe Double -> Double
  616 nullableDouble = realToFrac . fromMaybeDouble
  617 
  618 -- |Default-probability term structure bootstrapped from CDS/default helpers with either a fixed
  619 -- or evaluation-date-relative reference point and complete iterative-bootstrap settings.
  620 piecewiseDefaultCurve :: Reference
  621   -> NonEmpty DefaultProbabilityHelper -- ^instruments
  622   -> DayCounter -- ^dayCounter
  623   -> [(Day, GenQuote q)] -- ^jumps paired with their dates
  624   -> ProbabilityTrait -- ^bootstrap trait
  625   -> Interpolation -- ^interpolator
  626   -> IterativeBootstrapOpts -- ^bootstrap settings
  627   -> Bool -- ^extrapolate past the curve's max date
  628   -> IO DefaultProbabilityTermStructure
  629 piecewiseDefaultCurve reference h dc q t i b ex = do
  630   curve <- case reference of
  631     ReferenceDate d -> uncurryNested (piecewiseDefaultCurve_ d hs dc qq qd t) (qlInterpolation i)
  632       (nullableDouble (ibAccuracy b)) (nullableDouble (ibMinValue b)) (nullableDouble (ibMaxValue b))
  633       (ibMaxAttempts b) (ibMaxFactor b) (ibMinFactor b) (ibDontThrow b) (ibDontThrowSteps b) (ibMaxEvaluations b)
  634     SettlementDays d c -> uncurryNested (piecewiseDefaultCurve1_ d c hs dc qq qd t) (qlInterpolation i)
  635       (nullableDouble (ibAccuracy b)) (nullableDouble (ibMinValue b)) (nullableDouble (ibMaxValue b))
  636       (ibMaxAttempts b) (ibMaxFactor b) (ibMinFactor b) (ibDontThrow b) (ibDontThrowSteps b) (ibMaxEvaluations b)
  637   setExtrapolation curve ex
  638   pure curve
  639   where (qd, qq) = unzip q
  640         hs = toList h
  641 piecewiseDefaultCurve_ :: (Day) -> ([DefaultProbabilityHelper]) -> (DayCounter) -> ([GenQuote q]) -> ([Day]) -> (ProbabilityTrait) -> (Int) -> (Int) -> (Int) -> (Double) -> (Double) -> (Double) -> (Word) -> (Double) -> (Double) -> (Bool) -> (Word) -> (Word) -> IO ((DefaultProbabilityTermStructure))
  642 piecewiseDefaultCurve_ a1 a2 a3 a4 a5 a6 a7 a8 a9 a10 a11 a12 a13 a14 a15 a16 a17 a18 =
  643   withDay a1 $ \a1' -> 
  644   withDefaultProbabilityHelperArray a2 $ \(a2'1, a2'2) -> 
  645   withDayCounter a3 $ \a3' -> 
  646   withQuoteArray a4 $ \(a4'1, a4'2) -> 
  647   withDayArray a5 $ \(a5'1, a5'2) -> 
  648   let {a6' = (fromIntegral . fromEnum) a6} in 
  649   let {a7' = fromIntegral a7} in 
  650   let {a8' = fromIntegral a8} in 
  651   let {a9' = fromIntegral a9} in 
  652   let {a10' = realToFrac a10} in 
  653   let {a11' = realToFrac a11} in 
  654   let {a12' = realToFrac a12} in 
  655   let {a13' = fromIntegral a13} in 
  656   let {a14' = realToFrac a14} in 
  657   let {a15' = realToFrac a15} in 
  658   let {a16' = C2HSImp.fromBool a16} in 
  659   let {a17' = fromIntegral a17} in 
  660   let {a18' = fromIntegral a18} in 
  661   preErrorCheck $ \a19' -> 
  662   piecewiseDefaultCurve_'_ a1' a2'1  a2'2 a3' a4'1  a4'2 a5'1  a5'2 a6' a7' a8' a9' a10' a11' a12' a13' a14' a15' a16' a17' a18' a19' >>= \res ->
  663   peekDefaultProbabilityTermStructure res >>= \res' ->
  664   errorCheck  a19'>>
  665   return (res')
  666 
  667 
  668 piecewiseDefaultCurve1_ :: (Word) -> (Calendar) -> ([DefaultProbabilityHelper]) -> (DayCounter) -> ([GenQuote q]) -> ([Day]) -> (ProbabilityTrait) -> (Int) -> (Int) -> (Int) -> (Double) -> (Double) -> (Double) -> (Word) -> (Double) -> (Double) -> (Bool) -> (Word) -> (Word) -> IO ((DefaultProbabilityTermStructure))
  669 piecewiseDefaultCurve1_ a1 a2 a3 a4 a5 a6 a7 a8 a9 a10 a11 a12 a13 a14 a15 a16 a17 a18 a19 =
  670   let {a1' = fromIntegral a1} in 
  671   withCalendar a2 $ \a2' -> 
  672   withDefaultProbabilityHelperArray a3 $ \(a3'1, a3'2) -> 
  673   withDayCounter a4 $ \a4' -> 
  674   withQuoteArray a5 $ \(a5'1, a5'2) -> 
  675   withDayArray a6 $ \(a6'1, a6'2) -> 
  676   let {a7' = (fromIntegral . fromEnum) a7} in 
  677   let {a8' = fromIntegral a8} in 
  678   let {a9' = fromIntegral a9} in 
  679   let {a10' = fromIntegral a10} in 
  680   let {a11' = realToFrac a11} in 
  681   let {a12' = realToFrac a12} in 
  682   let {a13' = realToFrac a13} in 
  683   let {a14' = fromIntegral a14} in 
  684   let {a15' = realToFrac a15} in 
  685   let {a16' = realToFrac a16} in 
  686   let {a17' = C2HSImp.fromBool a17} in 
  687   let {a18' = fromIntegral a18} in 
  688   let {a19' = fromIntegral a19} in 
  689   preErrorCheck $ \a20' -> 
  690   piecewiseDefaultCurve1_'_ a1' a2' a3'1  a3'2 a4' a5'1  a5'2 a6'1  a6'2 a7' a8' a9' a10' a11' a12' a13' a14' a15' a16' a17' a18' a19' a20' >>= \res ->
  691   peekDefaultProbabilityTermStructure res >>= \res' ->
  692   errorCheck  a20'>>
  693   return (res')
  694 
  695 
  696 
  697 -- vim: set ff=unix ts=8 sts=2 sw=2 et:
  698 
  699 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlFactorSpreadedHazardRateCurve"
  700   factorSpreadedHazardRateCurve'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> ((C2HSImp.Ptr (CQuote')) -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CDefaultProbabilityTermStructure'))))))
  701 
  702 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlFlatHazardRate1"
  703   flatHazardRateMovingRaw'_ :: (C2HSImp.CUInt -> ((C2HSImp.Ptr (CCalendar)) -> ((C2HSImp.Ptr (CQuote')) -> ((C2HSImp.Ptr (CDayCounter)) -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CDefaultProbabilityTermStructure'))))))))
  704 
  705 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlFlatHazardRate"
  706   flatHazardRateFixed'_ :: (C2HSImp.CInt -> ((C2HSImp.Ptr (CQuote')) -> ((C2HSImp.Ptr (CDayCounter)) -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CDefaultProbabilityTermStructure')))))))
  707 
  708 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlSpreadedHazardRateCurve"
  709   spreadedHazardRateCurve'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> ((C2HSImp.Ptr (CQuote')) -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CDefaultProbabilityTermStructure'))))))
  710 
  711 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityTermStructureDefaultProbability"
  712   defaultProbabilityAtDateRaw'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble)))))
  713 
  714 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityTermStructureHazardRate1"
  715   hazardRateAtTimeRaw'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> (C2HSImp.CDouble -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble)))))
  716 
  717 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityTermStructureHazardRate"
  718   hazardRateAtDateRaw'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble)))))
  719 
  720 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityTermStructureSurvivalProbability1"
  721   survivalProbabilityAtTimeRaw'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> (C2HSImp.CDouble -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble)))))
  722 
  723 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityTermStructureSurvivalProbability"
  724   survivalProbabilityAtDateRaw'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble)))))
  725 
  726 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityTermStructureDefaultDensity1"
  727   defaultDensityAtTimeRaw'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> (C2HSImp.CDouble -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble)))))
  728 
  729 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityTermStructureDefaultDensity"
  730   defaultDensityAtDateRaw'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble)))))
  731 
  732 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityTermStructureDefaultProbability1"
  733   defaultProbabilityAtTimeRaw'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> (C2HSImp.CDouble -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble)))))
  734 
  735 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityTermStructureDefaultProbability2"
  736   defaultProbabilityBetweenDatesRaw'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble))))))
  737 
  738 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityTermStructureDefaultProbability3"
  739   defaultProbabilityBetweenTimesRaw'_ :: ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> (C2HSImp.CDouble -> (C2HSImp.CDouble -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble))))))
  740 
  741 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlAffineHazardRateCurveConditionalSurvivalProbability"
  742   conditionalSurvivalProbabilityAtDatesRaw'_ :: ((C2HSImp.Ptr (CAffineHazardRateCurve')) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CDouble -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble)))))))
  743 
  744 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlAffineHazardRateCurveConditionalSurvivalProbability1"
  745   conditionalSurvivalProbabilityAtTimesRaw'_ :: ((C2HSImp.Ptr (CAffineHazardRateCurve')) -> (C2HSImp.CDouble -> (C2HSImp.CDouble -> (C2HSImp.CDouble -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble)))))))
  746 
  747 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlSpreadCdsHelper"
  748   spreadCdsHelper'_ :: ((C2HSImp.Ptr (CQuote')) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (CCalendar)) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (CDayCounter)) -> (C2HSImp.CDouble -> ((C2HSImp.Ptr (CYieldTermStructure')) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (CDayCounter)) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CDefaultProbabilityHelper))))))))))))))))))))))
  749 
  750 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlUpfrontCdsHelper"
  751   upfrontCdsHelper'_ :: ((C2HSImp.Ptr (CQuote')) -> (C2HSImp.CDouble -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (CCalendar)) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (CDayCounter)) -> (C2HSImp.CDouble -> ((C2HSImp.Ptr (CYieldTermStructure')) -> (C2HSImp.CUInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (CDayCounter)) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CDefaultProbabilityHelper))))))))))))))))))))))))
  752 
  753 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityHelperImpliedQuote"
  754   impliedQuote'_ :: ((C2HSImp.Ptr (CDefaultProbabilityHelper)) -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble)))
  755 
  756 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlDefaultProbabilityHelperImpliedQuoteOn"
  757   impliedQuoteOn'_ :: ((C2HSImp.Ptr (CDefaultProbabilityHelper)) -> ((C2HSImp.Ptr (CDefaultProbabilityTermStructure')) -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO C2HSImp.CDouble))))
  758 
  759 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlInterpolatedDefaultDensityCurve"
  760   qlInterpolatedDefaultDensityCurve'_ :: (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CInt) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CDouble) -> ((C2HSImp.Ptr (CDayCounter)) -> ((C2HSImp.Ptr (CCalendar)) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr (C2HSImp.Ptr (CQuote'))) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CInt) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CDefaultProbabilityTermStructure')))))))))))))))))
  761 
  762 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlInterpolatedHazardRateCurve"
  763   qlInterpolatedHazardRateCurve'_ :: (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CInt) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CDouble) -> ((C2HSImp.Ptr (CDayCounter)) -> ((C2HSImp.Ptr (CCalendar)) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr (C2HSImp.Ptr (CQuote'))) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CInt) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CDefaultProbabilityTermStructure'))))))))))))))))))
  764 
  765 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlInterpolatedAffineHazardRateCurve"
  766   qlInterpolatedAffineHazardRateCurve'_ :: (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CInt) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CDouble) -> ((C2HSImp.Ptr (CDayCounter)) -> ((C2HSImp.Ptr (COneFactorAffineModel')) -> ((C2HSImp.Ptr (CCalendar)) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr (C2HSImp.Ptr (CQuote'))) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CInt) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CAffineHazardRateCurve')))))))))))))))))))
  767 
  768 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlInterpolatedSurvivalProbabilityCurve"
  769   qlInterpolatedSurvivalProbabilityCurve'_ :: (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CInt) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CDouble) -> ((C2HSImp.Ptr (CDayCounter)) -> ((C2HSImp.Ptr (CCalendar)) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr (C2HSImp.Ptr (CQuote'))) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CInt) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CDefaultProbabilityTermStructure')))))))))))))))))
  770 
  771 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlPiecewiseDefaultCurve"
  772   piecewiseDefaultCurve_'_ :: (C2HSImp.CInt -> (C2HSImp.CUInt -> ((C2HSImp.Ptr (C2HSImp.Ptr (CDefaultProbabilityHelper))) -> ((C2HSImp.Ptr (CDayCounter)) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr (C2HSImp.Ptr (CQuote'))) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CInt) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CDouble -> (C2HSImp.CDouble -> (C2HSImp.CDouble -> (C2HSImp.CUInt -> (C2HSImp.CDouble -> (C2HSImp.CDouble -> (C2HSImp.CInt -> (C2HSImp.CUInt -> (C2HSImp.CUInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CDefaultProbabilityTermStructure')))))))))))))))))))))))))
  773 
  774 foreign import ccall safe "QuantLib/TermStructure/Credit.chs.h qlPiecewiseDefaultCurve1"
  775   piecewiseDefaultCurve1_'_ :: (C2HSImp.CUInt -> ((C2HSImp.Ptr (CCalendar)) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr (C2HSImp.Ptr (CDefaultProbabilityHelper))) -> ((C2HSImp.Ptr (CDayCounter)) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr (C2HSImp.Ptr (CQuote'))) -> (C2HSImp.CUInt -> ((C2HSImp.Ptr C2HSImp.CInt) -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CInt -> (C2HSImp.CDouble -> (C2HSImp.CDouble -> (C2HSImp.CDouble -> (C2HSImp.CUInt -> (C2HSImp.CDouble -> (C2HSImp.CDouble -> (C2HSImp.CInt -> (C2HSImp.CUInt -> (C2HSImp.CUInt -> ((C2HSImp.Ptr (C2HSImp.Ptr ())) -> (IO (C2HSImp.Ptr (CDefaultProbabilityTermStructure'))))))))))))))))))))))))))