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 date for which the curve can return values
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.
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
Hazard-rate term structure
This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the
hazardRateImpl(Time)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.