- QuantLib
- SurvivalProbabilityStructure
Hazard-rate term structure. More...
#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
SurvivalProbabilityStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >()) | |
SurvivalProbabilityStructure (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 >()) | |
SurvivalProbabilityStructure (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 | |
DefaultProbabilityTermStructure implementation | |
Real | defaultDensityImpl (Time) const |
instantaneous default density at a given time |
Hazard-rate term structure.
This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the survivalProbabilityImpl(Time)
method in derived classes.
Hazard rates and default densities are calculated from survival probabilities.
Real defaultDensityImpl | ( | Time | ) | const [protected, virtual] |
instantaneous default density at a given time
implemented in terms of the survival probability as
Implements DefaultProbabilityTermStructure.
Reimplemented in InterpolatedSurvivalProbabilityCurve< Interpolator >.