FactorSpreadedHazardRateCurve − Default-probability structure with a multiplicative spread on hazard rates.
Public Member Functions
FactorSpreadedHazardRateCurve (const Handle< DefaultProbabilityTermStructure > &originalCurve, const Handle< Quote > &spread)
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
Additional Inherited Members
Default-probability structure with a multiplicative spread on hazard rates.
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.
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