/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*

 Copyright (C) 2009 Ferdinando Ametrano

 This file is part of QuantLib, a free-software/open-source library

 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it

 under the terms of the QuantLib license.  You should have received a

 copy of the license along with this program; if not, please email

 <quantlib-dev@lists.sf.net>. The license is also available online at

 <https://www.quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT

 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS

 FOR A PARTICULAR PURPOSE.  See the license for more details.

*/

#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>

namespace QuantLib {

    SurvivalProbabilityStructure::SurvivalProbabilityStructure(

                                    const DayCounter& dc,

                                    const std::vector<Handle<Quote> >& jumps,

                                    const std::vector<Date>& jumpDates)

    : DefaultProbabilityTermStructure(dc, jumps, jumpDates) {}

    SurvivalProbabilityStructure::SurvivalProbabilityStructure(

                                    const Date& refDate,

                                    const Calendar& cal,

                                    const DayCounter& dc,

                                    const std::vector<Handle<Quote> >& jumps,

                                    const std::vector<Date>& jumpDates)

    : DefaultProbabilityTermStructure(refDate, cal, dc, jumps, jumpDates) {}

    SurvivalProbabilityStructure::SurvivalProbabilityStructure(

                                    Natural settlDays,

                                    const Calendar& cal,

                                    const DayCounter& dc,

                                    const std::vector<Handle<Quote> >& jumps,

                                    const std::vector<Date>& jumpDates)

    : DefaultProbabilityTermStructure(settlDays, cal, dc, jumps, jumpDates) {}

    Real SurvivalProbabilityStructure::defaultDensityImpl(Time t) const {

        Time dt = 0.0001;

        Time t1 = std::max(t-dt, 0.0);

        Time t2 = t+dt;

        Probability p1 = survivalProbabilityImpl(t1);

        Probability p2 = survivalProbabilityImpl(t2);

        return (p1-p2)/(t2-t1);

    }

}