InterpolatedHazardRateCurve< Interpolator > Class Template Reference

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

#include <qle/termstructures/interpolatedhazardratecurve.hpp>

Inheritance diagram for InterpolatedHazardRateCurve< Interpolator >:

Collaboration 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=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)
	InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator, const bool allowNegativeRates=false)
	InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Interpolator &interpolator, const bool allowNegativeRates=false)
TermStructure interface
Date	maxDate () const override

DefaultProbabilityTermStructure implementation
std::vector< Date >	dates_
bool	allowNegativeRates_
Real	hazardRateImpl (Time) const override
Probability	survivalProbabilityImpl (Time) const override
void	initialize ()

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=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)
	InterpolatedHazardRateCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)
	InterpolatedHazardRateCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedHazardRateCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of hazard rates.

This is an exact copy of the QuantLib class, but with the option to disabled the check for non negative input hazard rates

Definition at line 60 of file interpolatedhazardratecurve.hpp.

Constructor & Destructor Documentation

InterpolatedHazardRateCurve() [1/6]

InterpolatedHazardRateCurve	(	const std::vector< Date > &	dates,
		const std::vector< Rate > &	hazardRates,
		const DayCounter &	dayCounter,
		const Calendar &	cal = Calendar(),
		const std::vector< Handle< Quote > > &	jumps = std::vector< Handle< Quote > >(),
		const std::vector< Date > &	jumpDates = std::vector< Date >(),
		const Interpolator &	interpolator = Interpolator(),
		const bool	allowNegativeRates = false
	)

InterpolatedHazardRateCurve() [2/6]

InterpolatedHazardRateCurve	(	const std::vector< Date > &	dates,
		const std::vector< Rate > &	hazardRates,
		const DayCounter &	dayCounter,
		const Calendar &	calendar,
		const Interpolator &	interpolator,
		const bool	allowNegativeRates = false
	)

InterpolatedHazardRateCurve() [3/6]

InterpolatedHazardRateCurve	(	const std::vector< Date > &	dates,
		const std::vector< Rate > &	hazardRates,
		const DayCounter &	dayCounter,
		const Interpolator &	interpolator,
		const bool	allowNegativeRates = false
	)

InterpolatedHazardRateCurve() [4/6]

InterpolatedHazardRateCurve ( const DayCounter &  , const std::vector< Handle< Quote > > &  jumps = std::vector< Handle< Quote > >(), const std::vector< Date > &  jumpDates = std::vector< Date >(), const Interpolator &  interpolator = Interpolator(), const bool  allowNegativeRates = false  )

protected

InterpolatedHazardRateCurve() [5/6]

InterpolatedHazardRateCurve ( const Date &  referenceDate, const DayCounter &  , const std::vector< Handle< Quote > > &  jumps = std::vector< Handle< Quote > >(), const std::vector< Date > &  jumpDates = std::vector< Date >(), const Interpolator &  interpolator = Interpolator(), const bool  allowNegativeRates = false  )

protected

InterpolatedHazardRateCurve() [6/6]

InterpolatedHazardRateCurve ( Natural  settlementDays, const Calendar &  , const DayCounter &  , const std::vector< Handle< Quote > > &  jumps = std::vector< Handle< Quote > >(), const std::vector< Date > &  jumpDates = std::vector< Date >(), const Interpolator &  interpolator = Interpolator(), const bool  allowNegativeRates = false  )

protected

Member Function Documentation

maxDate()

Date maxDate

override

Definition at line 136 of file interpolatedhazardratecurve.hpp.

                                                              {
        return dates_.back();
    }

times()

const std::vector< Time > & times

Definition at line 142 of file interpolatedhazardratecurve.hpp.

                                                {
        return this->times_;
    }

dates()

const std::vector< Date > & dates

Definition at line 148 of file interpolatedhazardratecurve.hpp.

                                                {
        return dates_;
    }

data()

const std::vector< Real > & data

Definition at line 154 of file interpolatedhazardratecurve.hpp.

                                               {
        return this->data_;
    }

hazardRates()

const std::vector< Rate > & hazardRates

Definition at line 160 of file interpolatedhazardratecurve.hpp.

                                                      {
        return this->data_;
    }

nodes()

std::vector< std::pair< Date, Real > > nodes

Definition at line 166 of file interpolatedhazardratecurve.hpp.

                                                {
        std::vector<std::pair<Date, Real> > results(dates_.size());
        for (Size i=0; i<dates_.size(); ++i)
            results[i] = std::make_pair(dates_[i], this->data_[i]);
        return results;
    }

hazardRateImpl()

Real hazardRateImpl ( Time  ) const

overrideprotected

survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time  ) const

overrideprotected

initialize()

void initialize

private

Definition at line 285 of file interpolatedhazardratecurve.hpp.

    {
        QL_REQUIRE(dates_.size() >= T::requiredPoints,
                   "not enough input dates given");
        QL_REQUIRE(this->data_.size() == dates_.size(),
                   "dates/data count mismatch");
 
        this->times_.resize(dates_.size());
        this->times_[0] = 0.0;
        for (Size i=1; i<dates_.size(); ++i) {
            QL_REQUIRE(dates_[i] > dates_[i-1],
                       "invalid date (" << dates_[i] << ", vs "
                       << dates_[i-1] << ")");
            this->times_[i] = dayCounter().yearFraction(dates_[0], dates_[i]);
            QL_REQUIRE(!close(this->times_[i], this->times_[i-1]),
                       "two dates correspond to the same time "
                       "under this curve's day count convention");
            QL_REQUIRE(allowNegativeRates_ || this->data_[i] >= 0.0, "negative hazard rate");
        }
 
        this->interpolation_ =
            this->interpolator_.interpolate(this->times_.begin(),
                                            this->times_.end(),
                                            this->data_.begin());
        this->interpolation_.update();
    }

Member Data Documentation

dates_

std::vector<Date> dates_

mutableprotected

Definition at line 126 of file interpolatedhazardratecurve.hpp.

allowNegativeRates_

bool allowNegativeRates_

private

Definition at line 129 of file interpolatedhazardratecurve.hpp.