date-range check
time-range check
Default densities
These methods return the default density at a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.
Default probabilities
These methods return the default probability from the reference date until a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.
The same day-counting rule used by the term structure should be used for calculating the passed time t.
probability of default between two given dates
probability of default between two given times
Hazard rates
These methods returns the hazard rate at a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.
Hazard rates are defined with annual frequency and continuous compounding.
Jump inspectors
the settlementDays used for reference date calculation
Survival probabilities
These methods return the survival probability from the reference date until a given date or time. In the latter case, the time is calculated as a fraction of year from the reference date.
The same day-counting rule used by the term structure should be used for calculating the passed time t.
survival probability calculation
implemented in terms of the hazard rate $ h(t) $ as $$ S(t) = \exp\left( - \int_0^t h(\tau) d\tau \right). $$
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.
date/time conversion
Observer interface
Default-probability structure with a multiplicative spread on hazard rates
note 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.