hazardspreadeddefaulttermstructure.cpp

Go to the documentation of this file.

/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <qle/termstructures/hazardspreadeddefaulttermstructure.hpp>
 
namespace QuantExt {
 
HazardSpreadedDefaultTermStructure::HazardSpreadedDefaultTermStructure(
    const Handle<DefaultProbabilityTermStructure>& source, const Handle<Quote>& spread)
    : source_(source), spread_(spread) {
    if (!source_.empty())
        enableExtrapolation(source_->allowsExtrapolation());
    registerWith(source_);
    registerWith(spread_);
}
 
} // namespace QuantExt