FactorSpreadedHazardRateCurve Class Reference

Default-probability structure with a multiplicative spread on hazard rates. More...

#include <ql/experimental/credit/factorspreadedhazardratecurve.hpp>

Inheritance diagram for FactorSpreadedHazardRateCurve:

List of all members.

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 DatereferenceDate () 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

Detailed Description

Default-probability structure with a multiplicative spread on hazard rates.

Note:
This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.