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

hazardRates(3) and InterpolatedHazardRateCurve(3) are aliases of QuantLib_InterpolatedHazardRateCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib