QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Default-probability structure with an additive spread on hazard rates. More...
#include <spreadedhazardratecurve.hpp>
Public Member Functions | |
SpreadedHazardRateCurve (Handle< DefaultProbabilityTermStructure > originalCurve, Handle< Quote > spread) | |
Public Member Functions inherited from HazardRateStructure | |
HazardRateStructure (const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) | |
HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) | |
HazardRateStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps={}, const std::vector< Date > &jumpDates={}) | |
Public Member Functions inherited from DefaultProbabilityTermStructure | |
DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={}) | |
DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={}) | |
DefaultProbabilityTermStructure (Natural settlementDays, const Calendar &cal, const DayCounter &dc=DayCounter(), std::vector< Handle< Quote > > jumps={}, const std::vector< Date > &jumpDates={}) | |
Probability | survivalProbability (const Date &d, bool extrapolate=false) const |
Probability | survivalProbability (Time t, bool extrapolate=false) const |
Probability | defaultProbability (const Date &d, bool extrapolate=false) const |
Probability | defaultProbability (Time t, bool extrapolate=false) const |
Probability | defaultProbability (const Date &, const Date &, bool extrapolate=false) const |
probability of default between two given dates More... | |
Probability | defaultProbability (Time, Time, bool extrapo=false) const |
probability of default between two given times More... | |
Real | defaultDensity (const Date &d, bool extrapolate=false) const |
Real | defaultDensity (Time t, bool extrapolate=false) const |
Rate | hazardRate (const Date &d, bool extrapolate=false) const |
Rate | hazardRate (Time t, bool extrapolate=false) const |
const std::vector< Date > & | jumpDates () const |
const std::vector< Time > & | jumpTimes () const |
void | update () override |
Public Member Functions inherited from TermStructure | |
TermStructure (DayCounter dc=DayCounter()) | |
default constructor More... | |
TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter()) | |
initialize with a fixed reference date More... | |
TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter()) | |
calculate the reference date based on the global evaluation date More... | |
~TermStructure () override=default | |
Time | timeFromReference (const Date &date) const |
date/time conversion More... | |
virtual Natural | settlementDays () const |
the settlementDays used for reference date calculation More... | |
Public Member Functions inherited from Observer | |
Observer ()=default | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
virtual | ~Observer () |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | update ()=0 |
virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Public Member Functions inherited from Extrapolator | |
Extrapolator ()=default | |
virtual | ~Extrapolator ()=default |
void | enableExtrapolation (bool b=true) |
enable extrapolation in subsequent calls More... | |
void | disableExtrapolation (bool b=true) |
disable extrapolation in subsequent calls More... | |
bool | allowsExtrapolation () const |
tells whether extrapolation is enabled More... | |
DefaultProbabilityTermStructure interface | |
Handle< DefaultProbabilityTermStructure > | originalCurve_ |
Handle< Quote > | spread_ |
DayCounter | dayCounter () const override |
the day counter used for date/time conversion More... | |
Calendar | calendar () const override |
the calendar used for reference and/or option date calculation More... | |
const Date & | referenceDate () const override |
the date at which discount = 1.0 and/or variance = 0.0 More... | |
Date | maxDate () const override |
the latest date for which the curve can return values More... | |
Time | maxTime () const override |
the latest time for which the curve can return values More... | |
Real | hazardRateImpl (Time t) const override |
hazard rate calculation More... | |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from HazardRateStructure | |
Real | hazardRateImpl (Time) const override |
hazard rate calculation More... | |
Probability | survivalProbabilityImpl (Time) const override |
Real | defaultDensityImpl (Time) const override |
default density calculation More... | |
Protected Member Functions inherited from DefaultProbabilityTermStructure | |
Protected Member Functions inherited from TermStructure | |
void | checkRange (const Date &d, bool extrapolate) const |
date-range check More... | |
void | checkRange (Time t, bool extrapolate) const |
time-range check More... | |
Protected Attributes inherited from TermStructure | |
bool | moving_ = false |
bool | updated_ = true |
Calendar | calendar_ |
Default-probability structure with an additive spread on hazard rates.
Definition at line 40 of file spreadedhazardratecurve.hpp.
SpreadedHazardRateCurve | ( | Handle< DefaultProbabilityTermStructure > | originalCurve, |
Handle< Quote > | spread | ||
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Definition at line 65 of file spreadedhazardratecurve.hpp.
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overridevirtual |
the day counter used for date/time conversion
Reimplemented from TermStructure.
Definition at line 72 of file spreadedhazardratecurve.hpp.
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overridevirtual |
the calendar used for reference and/or option date calculation
Reimplemented from TermStructure.
Definition at line 76 of file spreadedhazardratecurve.hpp.
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overridevirtual |
the date at which discount = 1.0 and/or variance = 0.0
Reimplemented from TermStructure.
Definition at line 80 of file spreadedhazardratecurve.hpp.
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overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
Definition at line 84 of file spreadedhazardratecurve.hpp.
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overridevirtual |
the latest time for which the curve can return values
Reimplemented from TermStructure.
Definition at line 88 of file spreadedhazardratecurve.hpp.
hazard rate calculation
Reimplemented from DefaultProbabilityTermStructure.
Definition at line 92 of file spreadedhazardratecurve.hpp.
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private |
Definition at line 58 of file spreadedhazardratecurve.hpp.
Definition at line 59 of file spreadedhazardratecurve.hpp.