QuantLib_InterpolatedHazardRateCurve man page

InterpolatedHazardRateCurve< Interpolator > — DefaultProbabilityTermStructure based on interpolation of hazard rates.  

Synopsis

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

Inherits HazardRateStructure, and InterpolatedCurve< Interpolator >.

Public Member Functions

InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)
InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Interpolator &interpolator)

TermStructure interface

Date maxDate () const
the latest date for which the curve can return values

other inspectors

const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< Real > & data () const
const std::vector< Rate > & hazardRates () const
std::vector< std::pair< Date, Real > > nodes () const

Protected Member Functions

InterpolatedHazardRateCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedHazardRateCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedHazardRateCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())

DefaultProbabilityTermStructure implementation

Real hazardRateImpl (Time) const
hazard rate calculation
Probability survivalProbabilityImpl (Time) const

Protected Attributes

std::vector< Date > dates_

Additional Inherited Members

Detailed Description

template<class Interpolator>

class QuantLib::InterpolatedHazardRateCurve< Interpolator >" DefaultProbabilityTermStructure based on interpolation of hazard rates.

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.

Reimplemented from HazardRateStructure.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages hazardRates(3) and InterpolatedHazardRateCurve(3) are aliases of QuantLib_InterpolatedHazardRateCurve(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib