InterpolatedHazardRateCurve< Interpolator > Class Template Reference

DefaultProbabilityTermStructure based on interpolation of hazard rates. More...

#include <qle/termstructures/interpolatedhazardratecurve.hpp>

Inheritance diagram for InterpolatedHazardRateCurve< Interpolator >:

Public Member Functions
	InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)
	InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Calendar &calendar, const Interpolator &interpolator, const bool allowNegativeRates=false)
	InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Rate > &hazardRates, const DayCounter &dayCounter, const Interpolator &interpolator, const bool allowNegativeRates=false)
TermStructure interface
Date	maxDate () const override

DefaultProbabilityTermStructure implementation
std::vector< Date >	dates_
Real	hazardRateImpl (Time) const override
Probability	survivalProbabilityImpl (Time) const override

other inspectors
const std::vector< Time > &	times () const
const std::vector< Date > &	dates () const
const std::vector< Real > &	data () const
const std::vector< Rate > &	hazardRates () const
std::vector< std::pair< Date, Real > >	nodes () const
	InterpolatedHazardRateCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)
	InterpolatedHazardRateCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)
	InterpolatedHazardRateCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator(), const bool allowNegativeRates=false)

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedHazardRateCurve< Interpolator >

DefaultProbabilityTermStructure based on interpolation of hazard rates.

This is an exact copy of the QuantLib class, but with the option to disabled the check for non negative input hazard rates