QuantLib_HazardRateStructure man page

HazardRateStructure — Hazard-rate term structure.

Synopsis

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

Inherits DefaultProbabilityTermStructure.

Inherited by FactorSpreadedHazardRateCurve, FlatHazardRate, InterpolatedHazardRateCurve< Interpolator >, and SpreadedHazardRateCurve.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

HazardRateStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

HazardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())

Protected Member Functions

Calculations
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.

virtual Real hazardRateImpl (Time) const =0
hazard rate calculation

DefaultProbabilityTermStructure implementation

Probability survivalProbabilityImpl (Time) const

Real defaultDensityImpl (Time) const
default density calculation

Additional Inherited Members

Detailed Description

Hazard-rate term structure.

This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the hazardRateImpl(Time) method in derived classes.

Survival/default probabilities and default densities are calculated from hazard rates.

Hazard rates are defined with annual frequency and continuous compounding.

Member Function Documentation

Probability survivalProbabilityImpl (Time) const [protected], [virtual]

survival probability calculation implemented in terms of the hazard rate $ h(t) $ as [ S(t) = \xpleft( - int_0^t h( au) d au right). ]

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.

Implements DefaultProbabilityTermStructure.

Reimplemented in InterpolatedHazardRateCurve< Interpolator >.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

HazardRateStructure(3) is an alias of QuantLib_HazardRateStructure(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib