/usr/include/ql/termstructures/credit/hazardratestructure.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2008 Jose Aparicio
Copyright (C) 2008 Chris Kenyon
Copyright (C) 2008 Roland Lichters
Copyright (C) 2008 StatPro Italia srl
Copyright (C) 2009 Ferdinando Ametrano
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file hazardratestructure.hpp
\brief hazard-rate term structure
*/
#ifndef quantlib_hazard_rate_structure_hpp
#define quantlib_hazard_rate_structure_hpp
#include <ql/termstructures/defaulttermstructure.hpp>
namespace QuantLib {
//! Hazard-rate term structure
/*! This abstract class acts as an adapter to
DefaultProbabilityTermStructure allowing the programmer to implement
only the <tt>hazardRateImpl(Time)</tt> 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.
\ingroup defaultprobabilitytermstructures
*/
class HazardRateStructure : public DefaultProbabilityTermStructure {
public:
/*! \name Constructors
See the TermStructure documentation for issues regarding
constructors.
*/
//@{
HazardRateStructure(
const DayCounter& dayCounter = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
HazardRateStructure(
const Date& referenceDate,
const Calendar& cal = Calendar(),
const DayCounter& dayCounter = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
HazardRateStructure(
Natural settlementDays,
const Calendar& cal,
const DayCounter& dayCounter = DayCounter(),
const std::vector<Handle<Quote> >& jumps = std::vector<Handle<Quote> >(),
const std::vector<Date>& jumpDates = std::vector<Date>());
//@}
protected:
/*! \name 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.
*/
//@{
//! hazard rate calculation
virtual Real hazardRateImpl(Time) const = 0;
//@}
//! \name DefaultProbabilityTermStructure implementation
//@{
/*! survival probability calculation
implemented in terms of the hazard rate \f$ h(t) \f$ as
\f[
S(t) = \exp\left( - \int_0^t h(\tau) d\tau \right).
\f]
\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.
*/
Probability survivalProbabilityImpl(Time) const;
//! default density calculation
Real defaultDensityImpl(Time) const;
//@}
};
// inline definitions
inline Real HazardRateStructure::defaultDensityImpl(Time t) const {
return hazardRateImpl(t)*survivalProbabilityImpl(t);
}
}
#endif
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