AffineHazardRate Struct Reference

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

Public Types
typedef BootstrapHelper< DefaultProbabilityTermStructure >	helper

Static Public Member Functions
static Date	initialDate (const DefaultProbabilityTermStructure *c)
static Real	initialValue (const DefaultProbabilityTermStructure *)
template<class C>
static Real	guess (Size i, const C *c, bool validData, Size)
template<class C>
static Real	minValueAfter (Size i, const C *c, bool validData, Size)
template<class C>
static Real	maxValueAfter (Size i, const C *c, bool validData, Size)
static void	updateGuess (std::vector< Real > &data, Real rate, Size i)
static Size	maxIterations ()

Detailed Description

Piecewise (deterministic) plus affine (stochastic) terms composed hazard rate