InterpolatedHazardRateCurve< Interpolator > Class Template Reference

DefaultProbabilityTermStructure based on interpolation of hazard rates. More...

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

Inheritance diagram for InterpolatedHazardRateCurve< Interpolator >:

Public Member Functions
	InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})
	InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator)
	InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Interpolator &interpolator)
TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values
Public Member Functions inherited from HazardRateStructure
	HazardRateStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
	HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
	HazardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={})
Public Member Functions inherited from DefaultProbabilityTermStructure
	DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
	DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
	DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={})
Probability	survivalProbability (const Date &d, bool extrapolate=false) const
Probability	survivalProbability (Time t, bool extrapolate=false) const
Probability	defaultProbability (const Date &d, bool extrapolate=false) const
Probability	defaultProbability (Time t, bool extrapolate=false) const
Probability	defaultProbability (const Date &, const Date &, bool extrapolate=false) const
	probability of default between two given dates
Probability	defaultProbability (Time, Time, bool extrapo=false) const
	probability of default between two given times
Real	defaultDensity (const Date &d, bool extrapolate=false) const
Real	defaultDensity (Time t, bool extrapolate=false) const
Rate	hazardRate (const Date &d, bool extrapolate=false) const
Rate	hazardRate (Time t, bool extrapolate=false) const
const std::vector< Date > &	jumpDates () const
const std::vector< Time > &	jumpTimes () const
void	update () override
Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Time	maxTime () const
	the latest time for which the curve can return values
virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0
virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation
virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation
void	update () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled

DefaultProbabilityTermStructure implementation
std::vector< Date >	dates_
Real	hazardRateImpl (Time) const override
	hazard rate calculation
Probability	survivalProbabilityImpl (Time) const override

other inspectors
const std::vector< Time > &	times () const
const std::vector< Date > &	dates () const
const std::vector< Real > &	data () const
const std::vector< Rate > &	hazardRates () const
std::vector< std::pair< Date, Real > >	nodes () const
	InterpolatedHazardRateCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})
	InterpolatedHazardRateCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})
	InterpolatedHazardRateCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}, const Interpolator &interpolator={})

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from HazardRateStructure
Real	defaultDensityImpl (Time) const override
	default density calculation
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check
Protected Member Functions inherited from InterpolatedCurve< Interpolator >
	InterpolatedCurve (std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator())
	InterpolatedCurve (std::vector< Time > times, const Interpolator &i=Interpolator())
	InterpolatedCurve (Size n, const Interpolator &i=Interpolator())
	InterpolatedCurve (const Interpolator &i=Interpolator())
	InterpolatedCurve (const InterpolatedCurve &c)
InterpolatedCurve &	operator= (const InterpolatedCurve &c)
	InterpolatedCurve (InterpolatedCurve &&c) noexcept
InterpolatedCurve &	operator= (InterpolatedCurve &&c) noexcept
void	setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)
void	setupInterpolation ()
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_
std::vector< Time >	times_
std::vector< Real >	data_
Interpolation	interpolation_
Interpolator	interpolator_
Date	maxDate_

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedHazardRateCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of hazard rates.

Examples

CVAIRS.cpp.

Member Function Documentation

maxDate()

template<class T>

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

hazardRateImpl()

template<class Interpolator>

Real hazardRateImpl ( Time ) const

overrideprotectedvirtual

hazard rate calculation

Reimplemented from HazardRateStructure.

survivalProbabilityImpl()

template<class Interpolator>

Probability survivalProbabilityImpl ( Time ) const

overrideprotectedvirtual

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.

Reimplemented from HazardRateStructure.