protected internal override double survivalProbabilityImpl(double t)
{
GaussChebyshevIntegration integral = new GaussChebyshevIntegration(48);
t_remapper remap_t = new t_remapper(this.defaultDensityImpl, t);
// the Gauss-Chebyshev quadratures integrate over [-1,1],
// hence the remapping (and the Jacobian term t/2)
double P = 1.0 - integral.value(remap_t.value) * t / 2.0;
//Utils.QL_ENSURE(P >= 0.0, "negative survival probability");
return(Math.Max(P, 0.0));
}
// This method must be implemented in derived classes to
// perform the actual calculations. When it is called,
// range check has already been performed; therefore, it
// must assume that extrapolation is required.
#endregion
//! hazard rate calculation
#region DefaultProbabilityTermStructure implementation
/*! survival probability calculation
* implemented in terms of the hazard rate \f$ h(t) \f$ as
* \f[
* S(t) = \exp\left( - \int_0^t h(\tau) d\tau \right).
* \f]
*
* \warning This default implementation uses numerical integration,
* which might be inefficient and inaccurate.
* Derived classes should override it if a more efficient
* implementation is available.
*/
protected internal override double survivalProbabilityImpl(double t)
{
GaussChebyshevIntegration integral = new GaussChebyshevIntegration(48);
// this stores the address of the method to integrate (so that
// we don't have to insert its full expression inside the
// integral below--it's long enough already)
// the Gauss-Chebyshev quadratures integrate over [-1,1],
// hence the remapping (and the Jacobian term t/2)
return(Math.Exp(-integral.value(hazardRateImpl) * t / 2.0));
}
