HazardRateStructure Class Reference
Hazard-rate term structure. More...
#include <ql/termstructures/credit/hazardratestructure.hpp>
Inheritance diagram for HazardRateStructure:

Public Member Functions | |
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
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.
Implements DefaultProbabilityTermStructure.
Reimplemented in InterpolatedHazardRateCurve.