SpreadedHazardRateCurve Class Reference
Default-probability structure with an additive spread on hazard rates. More...
#include <ql/experimental/credit/spreadedhazardratecurve.hpp>
Inheritance diagram for SpreadedHazardRateCurve:

Public Member Functions | |
SpreadedHazardRateCurve (const Handle< DefaultProbabilityTermStructure > &originalCurve, const Handle< Quote > &spread) | |
DefaultProbabilityTermStructure 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 | |
Real | hazardRateImpl (Time t) const |
hazard rate calculation |
Detailed Description
Default-probability structure with an additive 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.