HazardSpreadedDefaultTermStructure Class Reference

Hazard Spreaded Default Term Structure. More...

#include <qle/termstructures/hazardspreadeddefaulttermstructure.hpp>

Inheritance diagram for HazardSpreadedDefaultTermStructure:

Collaboration diagram for HazardSpreadedDefaultTermStructure:

Public Member Functions
Constructors
	HazardSpreadedDefaultTermStructure (const Handle< DefaultProbabilityTermStructure > &source, const Handle< Quote > &spread)
TermStructure interface
virtual DayCounter	dayCounter () const override
virtual Date	maxDate () const override
virtual Time	maxTime () const override
virtual const Date &	referenceDate () const override
virtual Calendar	calendar () const override
virtual Natural	settlementDays () const override

Private Member Functions
HazardRateStructure interface
Rate	hazardRateImpl (Time) const override

DefaultProbabilityTermStructure interface
Handle< DefaultProbabilityTermStructure >	source_
Handle< Quote >	spread_
Probability	survivalProbabilityImpl (Time) const override

Detailed Description

Hazard Spreaded Default Term Structure.

Definition at line 37 of file hazardspreadeddefaulttermstructure.hpp.

Constructor & Destructor Documentation

HazardSpreadedDefaultTermStructure()

HazardSpreadedDefaultTermStructure	(	const Handle< DefaultProbabilityTermStructure > &	source,
		const Handle< Quote > &	spread
	)

Definition at line 23 of file hazardspreadeddefaulttermstructure.cpp.

    : source_(source), spread_(spread) {
    if (!source_.empty())
        enableExtrapolation(source_->allowsExtrapolation());
    registerWith(source_);
    registerWith(spread_);
}

Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

Definition at line 78 of file hazardspreadeddefaulttermstructure.hpp.

{ return source_->dayCounter(); }

maxDate()

Date maxDate ( ) const

overridevirtual

Definition at line 80 of file hazardspreadeddefaulttermstructure.hpp.

{ return source_->maxDate(); }

maxTime()

Time maxTime ( ) const

overridevirtual

Definition at line 82 of file hazardspreadeddefaulttermstructure.hpp.

{ return source_->maxTime(); }

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Definition at line 84 of file hazardspreadeddefaulttermstructure.hpp.

{ return source_->referenceDate(); }

calendar()

Calendar calendar ( ) const

overridevirtual

Definition at line 86 of file hazardspreadeddefaulttermstructure.hpp.

{ return source_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

overridevirtual

Definition at line 88 of file hazardspreadeddefaulttermstructure.hpp.

{ return source_->settlementDays(); }

hazardRateImpl()

Rate hazardRateImpl ( Time  t ) const

overrideprivate

Definition at line 70 of file hazardspreadeddefaulttermstructure.hpp.

                                                                           {
    return source_->hazardRate(t) + spread_->value();
}

survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time  t ) const

overrideprivate

Definition at line 74 of file hazardspreadeddefaulttermstructure.hpp.

                                                                                           {
    return source_->survivalProbability(t) * std::exp(-spread_->value() * t);
}

Member Data Documentation

source_

Handle<DefaultProbabilityTermStructure> source_

private

Definition at line 64 of file hazardspreadeddefaulttermstructure.hpp.

spread_

Handle<Quote> spread_

private

Definition at line 65 of file hazardspreadeddefaulttermstructure.hpp.