QuantLib_FactorSpreadedHazardRateCurve man page

FactorSpreadedHazardRateCurve — Default-probability structure with a multiplicative spread on hazard rates.

Synopsis

#include <ql/experimental/credit/factorspreadedhazardratecurve.hpp>

Inherits HazardRateStructure.

Public Member Functions

FactorSpreadedHazardRateCurve (const Handle< DefaultProbabilityTermStructure > &originalCurve, const Handle< Quote > &spread)

DefaultTermStructure interface

DayCounter dayCounter () const
the day counter used for date/time conversion
Calendar calendar () const
the calendar used for reference and/or option date calculation
const Date & referenceDate () const
the date at which discount = 1.0 and/or variance = 0.0
Date maxDate () const
the latest date for which the curve can return values
Time maxTime () const
the latest time for which the curve can return values

Protected Member Functions

Real hazardRateImpl (Time t) const
hazard rate calculation

Additional Inherited Members

Detailed Description

Default-probability structure with a multiplicative spread on hazard rates.

Note:

This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FactorSpreadedHazardRateCurve(3), hazardRateImpl(3) and maxTime(3) are aliases of QuantLib_FactorSpreadedHazardRateCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib