QuantLib_HazardRateStructure

Langue: en

Autres versions - même langue

Version: 380869 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::HazardRateStructure -

Hazard-rate term structure.

SYNOPSIS


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

Inherits QuantLib::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

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) = \xp

fault implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.

Implements DefaultProbabilityTermStructure.

Author

Generated automatically by Doxygen for QuantLib from the source code.

NAME
SYNOPSIS
Public Member Functions
Protected Member Functions
Detailed Description
Member Function Documentation
Probability survivalProbabilityImpl (Time) const [protected, virtual]survival probability calculation implemented in terms of the hazard rate $ h(t) $ as [ S(t) = \xp