HazardRateStructure Class Reference

Hazard-rate term structure. 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 &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())
 HazardRateStructure (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 >())
 HazardRateStructure (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

Calculations
This method must be implemented in derived classes to perform the actual calculations. When it is called, range check has already been performed; therefore, it must assume that extrapolation is required.

virtual Real hazardRateImpl (Time) const =0
 hazard rate calculation
DefaultProbabilityTermStructure implementation
Probability survivalProbabilityImpl (Time) const
Real defaultDensityImpl (Time) const
 default density calculation


Detailed Description

Hazard-rate term structure.

This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the hazardRateImpl(Time) method in derived classes.

Survival/default probabilities and default densities are calculated from hazard rates.

Hazard rates are defined with annual frequency and continuous compounding.


Member Function Documentation

Probability survivalProbabilityImpl ( Time   )  const [protected, virtual]

survival probability calculation implemented in terms of the hazard rate $ h(t) $ as

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

Warning:
This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.

Implements DefaultProbabilityTermStructure.

Reimplemented in InterpolatedHazardRateCurve.