SurvivalProbabilityCalculator Class Reference

SurvivalProbabilityCalculator. More...

#include <orea/engine/cptycalculator.hpp>

Inheritance diagram for SurvivalProbabilityCalculator:

Public Member Functions
	SurvivalProbabilityCalculator (const std::string &configuration, Size index=0)
	base ccy and index to write to
virtual void	calculate (const std::string &name, Size nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, const Date &date, Size dateIndex, Size sample, bool isCloseOut=false) override
virtual void	calculateT0 (const std::string &name, Size nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube) override

Detailed Description

SurvivalProbabilityCalculator.

Calculate the survival probability of a counterparty If the SurvivalProbabilityCalculator() call throws, we log an exception and write 1 to the cube