HazardRateStructure Class Reference

hazard-rate adapter for default-probability term structures More...

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

Inheritance diagram for HazardRateStructure:

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List of all members.

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	HazardRateStructure (const DayCounter &dc=DayCounter())
	default constructor
	HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	HazardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
Protected Member Functions
Probability	survivalProbabilityImpl (Time) const
	probability of survival between today (t = 0) and a given time
Real	defaultDensityImpl (Time) const
	instantaneous default density at a given time

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Detailed Description

hazard-rate adapter for default-probability term structures

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Constructor & Destructor Documentation

HazardRateStructure

(

const DayCounter &

dc = DayCounter()

)

default constructor

Warning:

term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

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Member Function Documentation

Probability survivalProbabilityImpl

(

Time

)

const [protected, virtual]

probability of survival between today (t = 0) and a given time

implemented in terms of the hazard rate as

Note:

This implementation uses numerical integration. Derived classes should override it if a more efficient formula is available.

Implements DefaultProbabilityTermStructure.

Reimplemented in InterpolatedHazardRateCurve.

Real defaultDensityImpl

(

Time

)

const [protected, virtual]

instantaneous default density at a given time

implemented in terms of the hazard rate and the survival probability as

Implements DefaultProbabilityTermStructure.