HazardRateStructure Class Reference

hazard-rate adapter for default-probability term structures More...

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

Inheritance diagram for HazardRateStructure:

List of all members.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

 HazardRateStructure (const DayCounter &dc=DayCounter())
 default constructor
 HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 HazardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date

Protected Member Functions

Probability survivalProbabilityImpl (Time) const
 probability of survival between today (t = 0) and a given time
Real defaultDensityImpl (Time) const
 instantaneous default density at a given time


Detailed Description

hazard-rate adapter for default-probability term structures

Constructor & Destructor Documentation

HazardRateStructure ( const DayCounter dc = DayCounter()  ) 

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.


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

\[ S(t) = \exp\left( - \int_0^t h(\tau) d\tau \right). \]

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

Implements DefaultProbabilityTermStructure.

Reimplemented in InterpolatedHazardRateCurve.

Real defaultDensityImpl ( Time   )  const [protected, virtual]

instantaneous default density at a given time

implemented in terms of the hazard rate $ h(t) $ and the survival probability $ S(t) $ as $ p(t) = h(t) S(t). $

Implements DefaultProbabilityTermStructure.