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 (Handle< DefaultProbabilityTermStructure > originalCurve, Handle< Quote > spread)
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
Time	timeFromReference (const Date &date) const
	date/time conversion
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 interface
DayCounter	dayCounter () const override
	the day counter used for date/time conversion
Calendar	calendar () const override
	the calendar used for reference and/or option date calculation
const Date &	referenceDate () const override
	the date at which discount = 1.0 and/or variance = 0.0
Date	maxDate () const override
	the latest date for which the curve can return values
Time	maxTime () const override
	the latest time for which the curve can return values
Real	hazardRateImpl (Time t) const override
	hazard rate calculation

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from HazardRateStructure
Probability	survivalProbabilityImpl (Time) const override
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
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

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.

Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

calendar()

Calendar calendar ( ) const

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

maxTime()

Time maxTime ( ) const

overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

hazardRateImpl()

Real hazardRateImpl ( Time ) const

overrideprotectedvirtual

hazard rate calculation

Reimplemented from HazardRateStructure.