MultiSectionDefaultCurve Class Reference

multi section default ts More...

#include <qle/termstructures/multisectiondefaultcurve.hpp>

Inheritance diagram for MultiSectionDefaultCurve:

Public Member Functions
	MultiSectionDefaultCurve (const std::vector< Handle< DefaultProbabilityTermStructure > > &sourceCurves, const std::vector< Handle< Quote > > recoveryRates, const std::vector< Date > &switchDates, const Handle< Quote > recoveryRate, const DayCounter &dayCounter, const bool extrapolate)
Date	maxDate () const override
const Date &	referenceDate () const override

Protected Member Functions
Real	survivalProbabilityImpl (Time t) const override
void	update () override

Protected Attributes
const std::vector< Handle< DefaultProbabilityTermStructure > >	sourceCurves_
const std::vector< Handle< Quote > >	recoveryRates_
const std::vector< Date >	switchDates_
const Handle< Quote >	recoveryRate_
std::vector< Time >	switchTimes_

Detailed Description

multi section default ts

the instantaneous hazard rate is defined by the ith source curve for dates before the ith switch date and after the (i-1)th switch date; all source curves must be consistently floating or fixed and have the same reference date always; the day counter of all source curves should coincide with the dc of this curve