InterpolatedHazardRateCurve Class Template Reference
DefaultProbabilityTermStructure based on interpolation of hazard rates. More...
#include <ql/termstructures/credit/interpolatedhazardratecurve.hpp>
Inheritance diagram for InterpolatedHazardRateCurve:

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_ |
Detailed Description
template<class Interpolator>
class QuantLib::InterpolatedHazardRateCurve< Interpolator >
DefaultProbabilityTermStructure based on interpolation of hazard rates.
Member Function Documentation
| Probability survivalProbabilityImpl | ( | Time | ) | const [protected, virtual] |
survival probability calculation implemented in terms of the hazard rate
as
- Warning:
- This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
Reimplemented from HazardRateStructure.