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QuantLib_InterpolatedHazardRateCurve

NAME

QuantLib::InterpolatedHazardRateCurve -

DefaultProbabilityTermStructure based on interpolation of hazard rates.

SYNOPSIS

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

Inherits QuantLib::HazardRateStructure, and QuantLib::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

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

Probability survivalProbabilityImpl (Time) const

Protected Attributes

std::vector< Date > dates_

Detailed Description

template<class Interpolator> class QuantLib::InterpolatedHazardRateCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of hazard rates.

Author

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