the calendar used for reference and/or option date calculation
date-range check
time-range check
the day counter used for date/time conversion
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 latest time for which the curve can return values
the date at which discount = 1.0 and/or variance = 0.0
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.
date/time conversion
Observer interface
Survival probability term structure based on a one factor stochastic model of the default intensity.
While deriving from the hazard rate class the HRTS refers only to the deterministic part of the model. The probabilities depend on this component and the stochastic part and are rewritten here. Derived classes need to specify the deterministic part of the hazard rate if any (the one returned by 'hazardRateImpl'). It is needed for the conditional/forward probabilities.