- QuantLib
- InterpolatedHazardRateCurve
DefaultProbabilityTermStructure based on interpolation of hazard rates. More...
#include <ql/termstructures/credit/interpolatedhazardratecurve.hpp>
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_ |
DefaultProbabilityTermStructure based on interpolation of hazard rates.
Probability survivalProbabilityImpl | ( | Time | ) | const [protected, virtual] |
survival probability calculation implemented in terms of the hazard rate as
Reimplemented from HazardRateStructure.