InterpolatedHazardRateCurve (3) Linux Manual Page
QuantLib::InterpolatedHazardRateCurve – interpolated hazard-rate curve
Synopsis
#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 curveMember Function Documentation
Probability survivalProbabilityImpl (Time) const [protected, virtual]
probability of survival between today (t = 0) and a given timeimplemented 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.