Hazard-rate term structure. More...

#include <hazardratestructure.hpp>

Inheritance diagram for HazardRateStructure:

Collaboration diagram for HazardRateStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	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

virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...

Time	timeFromReference (const Date &date) const
	date/time conversion More...

virtual Date	maxDate () const =0
	the latest date for which the curve can return values More...

virtual Time	maxTime () const
	the latest time for which the curve can return values More...

virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 More...

virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation 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...

Protected Member Functions
Calculations
This method must be implemented in derived classes to perform the actual calculations. When it is called, range check has already been performed; therefore, it must assume that extrapolation is required.
Real	hazardRateImpl (Time) const override
	hazard rate calculation More...

DefaultProbabilityTermStructure implementation
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...

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

Hazard-rate term structure.

This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the hazardRateImpl(Time) method in derived classes.

Survival/default probabilities and default densities are calculated from hazard rates.

Hazard rates are defined with annual frequency and continuous compounding.

Definition at line 48 of file hazardratestructure.hpp.

Constructor & Destructor Documentation

◆ HazardRateStructure() [1/3]

HazardRateStructure	(	const DayCounter &	dayCounter = `DayCounter()`,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`
	)

Definition at line 51 of file hazardratestructure.cpp.

◆ HazardRateStructure() [2/3]

HazardRateStructure	(	const Date &	referenceDate,
		const Calendar &	cal = `Calendar()`,
		const DayCounter &	dayCounter = `DayCounter()`,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`
	)

Definition at line 57 of file hazardratestructure.cpp.

◆ HazardRateStructure() [3/3]

HazardRateStructure	(	Natural	settlementDays,
		const Calendar &	cal,
		const DayCounter &	dayCounter = `DayCounter()`,
		const std::vector< Handle< Quote > > &	jumps = `{}`,
		const std::vector< Date > &	jumpDates = `{}`
	)

Definition at line 65 of file hazardratestructure.cpp.

Member Function Documentation

◆ hazardRateImpl()

Real hazardRateImpl ( Time ) const

overrideprotectedvirtual

hazard rate calculation

Reimplemented from DefaultProbabilityTermStructure.

Reimplemented in InterpolatedHazardRateCurve< Interpolator >.

Definition at line 73 of file hazardratestructure.cpp.

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◆ survivalProbabilityImpl()

Probability survivalProbabilityImpl ( Time t ) const

overrideprotectedvirtual

survival probability calculation implemented in terms of the hazard rate \( h(t) \) as

\[ S(t) = \exp\left( - \int_0^t h(\tau) d\tau \right). \]

Warning:: This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.

Implements DefaultProbabilityTermStructure.

Reimplemented in InterpolatedHazardRateCurve< Interpolator >.

Definition at line 77 of file hazardratestructure.cpp.

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