- QuantLib
- FactorSpreadedHazardRateCurve
Default-probability structure with a multiplicative spread on hazard rates. More...
#include <ql/experimental/credit/factorspreadedhazardratecurve.hpp>
Public Member Functions | |
FactorSpreadedHazardRateCurve (const Handle< DefaultProbabilityTermStructure > &originalCurve, const Handle< Quote > &spread) | |
DefaultTermStructure 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 | |
Protected Member Functions | |
Real | hazardRateImpl (Time t) const |
hazard rate calculation |
Default-probability structure with a multiplicative spread on hazard rates.