QuantLib_SpreadedHazardRateCurve

Langue: en

Version: 380646 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::SpreadedHazardRateCurve -

Default-probability structure with an additive spread on hazard rates.

SYNOPSIS


#include <ql/experimental/credit/spreadedhazardratecurve.hpp>

Inherits QuantLib::HazardRateStructure.

Public Member Functions


SpreadedHazardRateCurve (const Handle< DefaultProbabilityTermStructure > &originalCurve, const Handle< Quote > &spread)

DefaultProbabilityTermStructure interface


 
DayCounter dayCounter () const
the day counter used for date/time conversion
Calendar calendar () const
the calendar used for reference and/or option date calculation
const Date & referenceDate () const
the date at which discount = 1.0 and/or variance = 0.0
Date maxDate () const
the latest date for which the curve can return values
Time maxTime () const
the latest time for which the curve can return values
Real hazardRateImpl (Time t) const
hazard rate calculation

Detailed Description

Default-probability structure with an additive spread on hazard rates.

Note:

This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.

Author

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