QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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factorspreadedhazardratecurve.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 Roland Lichters
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file factorspreadedhazardratecurve.hpp
21 \brief Default-probability structure with a multiplicative spread on hazard rates
22*/
23
24#ifndef quantlib_factor_spreaded_hazard_rate_curve_hpp
25#define quantlib_factor_spreaded_hazard_rate_curve_hpp
26
27#include <ql/quote.hpp>
29#include <utility>
30
31namespace QuantLib {
32
33 //! Default-probability structure with a multiplicative spread on hazard rates
34 /*! \note This term structure will remain linked to the original
35 structure, i.e., any changes in the latter will be
36 reflected in this structure as well.
37
38 \ingroup defaultprobabilitytermstructures
39 */
41 public:
43 Handle<Quote> spread);
44 //! \name DefaultTermStructure interface
45 //@{
46 DayCounter dayCounter() const override;
47 Calendar calendar() const override;
48 const Date& referenceDate() const override;
49 Date maxDate() const override;
50 Time maxTime() const override;
51 //@}
52 protected:
53 Real hazardRateImpl(Time t) const override;
54
55 private:
58 };
59
60
61 // inline definitions
62
65 : originalCurve_(std::move(h)), spread_(std::move(spread)) {
68 }
69
71 return originalCurve_->dayCounter();
72 }
73
75 return originalCurve_->calendar();
76 }
77
79 return originalCurve_->referenceDate();
80 }
81
83 return originalCurve_->maxDate();
84 }
85
87 return originalCurve_->maxTime();
88 }
89
91 return originalCurve_->hazardRate(t, true) * (1.0 + spread_->value());
92 }
93
94}
95
96#endif
calendar class
Definition: calendar.hpp:61
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
Default-probability structure with a multiplicative spread on hazard rates.
Calendar calendar() const override
the calendar used for reference and/or option date calculation
const Date & referenceDate() const override
the date at which discount = 1.0 and/or variance = 0.0
Real hazardRateImpl(Time t) const override
hazard rate calculation
DayCounter dayCounter() const override
the day counter used for date/time conversion
Date maxDate() const override
the latest date for which the curve can return values
FactorSpreadedHazardRateCurve(Handle< DefaultProbabilityTermStructure > originalCurve, Handle< Quote > spread)
Handle< DefaultProbabilityTermStructure > originalCurve_
Time maxTime() const override
the latest time for which the curve can return values
Shared handle to an observable.
Definition: handle.hpp:41
Hazard-rate term structure.
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Definition: observable.hpp:228
const DefaultType & t
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
hazard-rate term structure
Definition: any.hpp:35
STL namespace.
purely virtual base class for market observables