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QuantLib_HazardRateStructure
Langue: en
Version: 380869 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- 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
- fault implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
- Author
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
-
Contenus ©2006-2024 Benjamin Poulain
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