[Quantlib-dev] Survival Probability

[animesh s. <ani...@gm...>]

Minor doubt in defaultdensitystructure.cpp

In the function
 Probability DefaultDensityStructure::survivalProbabilityImpl(Time t) 
const {
        static GaussChebyshevIntegration integral(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)
        Real (DefaultDensityStructure::*f)(Time) const =
            &DefaultDensityStructure::defaultDensityImpl;
        // the Gauss-Chebyshev quadratures integrate over [-1,1],
        // hence the remapping (and the Jacobian term t/2)
        Probability P = 1.0 - integral(remap(bind(f,this,_1), t)) * t/2.0;
        //QL_ENSURE(P >= 0.0, "negative survival probability");
        return std::max<Real>(P, 0.0);
    }

The following code is present. If lambda is constant then survival 
probability is exp(-lambda * t)
If not then we integrate to find lambda over [0,t] and it becomes 
exp(Integral over [0,t] lambda dt)

In the code it looks like it is calculating default probability which is 
1 - P or 1 - Survival Probability.
Maybe my understanding is wrong. Can someone explain?


        Probability P = 1.0 - integral(remap(bind(f,this,_1), t)) * t/2.0;