QuantLib::InterpolatedHazardRateCurve - interpolated hazard-rate curve


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

Inherits QuantLib::HazardRateStructure, and boost::noncopyable.

Public Member Functions

InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Real > &hazardRates, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const Interpolator &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 > & hazardRates () const

std::vector< std::pair< Date, Real > > nodes () const

Protected Member Functions

InterpolatedHazardRateCurve (const DayCounter &, const Interpolator &interpolator=Interpolator())

InterpolatedHazardRateCurve (const Date &referenceDate, const DayCounter &, const Interpolator &interpolator=Interpolator())

InterpolatedHazardRateCurve (Natural settlementDays, const Calendar &, const DayCounter &, const Interpolator &interpolator=Interpolator())

Real hazardRateImpl (Time) const
instantaneous hazard rate at a given time
Probability survivalProbabilityImpl (Time) const
probability of survival between today (t = 0) and a given time

Protected Attributes

std::vector< Date > dates_

std::vector< Time > times_

std::vector< Real > data_

Interpolation interpolation_

Interpolator interpolator_

Detailed Description

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

interpolated hazard-rate curve

Member Function Documentation

Probability survivalProbabilityImpl (Time) const [protected, virtual]

probability of survival between today (t = 0) and a given time

implemented in terms of the hazard rate $ h(t) $ as [ S(t) = \xp

This implementation uses numerical integration. Derived classes should override it if a more efficient formula is available.

Reimplemented from HazardRateStructure.


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