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Public Member Functions | List of all members
SpreadedHazardRateCurve Class Reference

Default-probability structure with an additive spread on hazard rates. More...

#include <spreadedhazardratecurve.hpp>

+ Inheritance diagram for SpreadedHazardRateCurve:
+ Collaboration diagram for SpreadedHazardRateCurve:

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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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< DefaultProbabilityTermStructureoriginalCurve_
 
Handle< Quotespread_
 
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 DatereferenceDate () 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_
 

Detailed Description

Default-probability structure with an additive spread on hazard rates.

Note
This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.

Definition at line 40 of file spreadedhazardratecurve.hpp.

Constructor & Destructor Documentation

◆ SpreadedHazardRateCurve()

Definition at line 65 of file spreadedhazardratecurve.hpp.

+ Here is the call graph for this function:

Member Function Documentation

◆ dayCounter()

DayCounter dayCounter ( ) const
overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 72 of file spreadedhazardratecurve.hpp.

◆ calendar()

Calendar calendar ( ) const
overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 76 of file spreadedhazardratecurve.hpp.

◆ referenceDate()

const Date & referenceDate ( ) const
overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 80 of file spreadedhazardratecurve.hpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 84 of file spreadedhazardratecurve.hpp.

◆ maxTime()

Time maxTime ( ) const
overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 88 of file spreadedhazardratecurve.hpp.

◆ hazardRateImpl()

Real hazardRateImpl ( Time  t) const
overrideprotectedvirtual

hazard rate calculation

Reimplemented from DefaultProbabilityTermStructure.

Definition at line 92 of file spreadedhazardratecurve.hpp.

Member Data Documentation

◆ originalCurve_

Handle<DefaultProbabilityTermStructure> originalCurve_
private

Definition at line 58 of file spreadedhazardratecurve.hpp.

◆ spread_

Handle<Quote> spread_
private

Definition at line 59 of file spreadedhazardratecurve.hpp.