- QuantLib
- FactorSpreadedHazardRateCurve
Default-probability structure with a multiplicative spread on hazard rates. More...
#include <ql/experimental/credit/factorspreadedhazardratecurve.hpp>

Public Member Functions | |
| FactorSpreadedHazardRateCurve (const Handle< DefaultProbabilityTermStructure > &originalCurve, const Handle< Quote > &spread) | |
DefaultTermStructure interface | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Calendar | calendar () const |
| the calendar used for reference and/or option date calculation | |
| const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0 | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
| Time | maxTime () const |
| the latest time for which the curve can return values | |
Protected Member Functions | |
| Real | hazardRateImpl (Time t) const |
| hazard rate calculation | |
Default-probability structure with a multiplicative spread on hazard rates.