AffineHazardRate Struct Reference

#include <interpolatedaffinehazardratecurve.hpp>

Collaboration diagram for AffineHazardRate:

Classes
struct	curve

Public Types
typedef BootstrapHelper< DefaultProbabilityTermStructure >	helper

Static Public Member Functions
static Date	initialDate (const DefaultProbabilityTermStructure *c)
static Real	initialValue (const DefaultProbabilityTermStructure *)
template<class C >
static Real	guess (Size i, const C *c, bool validData, Size)
template<class C >
static Real	minValueAfter (Size i, const C *c, bool validData, Size)
template<class C >
static Real	maxValueAfter (Size i, const C *c, bool validData, Size)
static void	updateGuess (std::vector< Real > &data, Real rate, Size i)
static Size	maxIterations ()

Detailed Description

Piecewise (deterministic) plus affine (stochastic) terms composed hazard rate

Definition at line 152 of file interpolatedaffinehazardratecurve.hpp.

Member Typedef Documentation

helper

typedef BootstrapHelper<DefaultProbabilityTermStructure> helper

Definition at line 159 of file interpolatedaffinehazardratecurve.hpp.

Member Function Documentation

initialDate()

static Date initialDate ( const DefaultProbabilityTermStructure *  c )

static

Definition at line 162 of file interpolatedaffinehazardratecurve.hpp.

Here is the call graph for this function:

initialValue()

static Real initialValue ( const DefaultProbabilityTermStructure *  )

static

Definition at line 166 of file interpolatedaffinehazardratecurve.hpp.

guess()

static Real guess ( Size  i, const C *  c, bool  validData, Size    )

static

Definition at line 172 of file interpolatedaffinehazardratecurve.hpp.

minValueAfter()

static Real minValueAfter ( Size  i, const C *  c, bool  validData, Size    )

static

Definition at line 196 of file interpolatedaffinehazardratecurve.hpp.

maxValueAfter()

static Real maxValueAfter ( Size  i, const C *  c, bool  validData, Size    )

static

Definition at line 210 of file interpolatedaffinehazardratecurve.hpp.

updateGuess()

static void updateGuess ( std::vector< Real > &  data, Real  rate, Size  i  )

static

Definition at line 225 of file interpolatedaffinehazardratecurve.hpp.

maxIterations()

static Size maxIterations ( )

static

Definition at line 233 of file interpolatedaffinehazardratecurve.hpp.