| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|
| 2 | |
|---|
| 3 | /* |
|---|
| 4 | Copyright (C) 2008 Roland Lichters |
|---|
| 5 | Copyright (C) 2008 StatPro Italia srl |
|---|
| 6 | |
|---|
| 7 | This file is part of QuantLib, a free-software/open-source library |
|---|
| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
|---|
| 9 | |
|---|
| 10 | QuantLib is free software: you can redistribute it and/or modify it |
|---|
| 11 | under the terms of the QuantLib license. You should have received a |
|---|
| 12 | copy of the license along with this program; if not, please email |
|---|
| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
|---|
| 14 | <http://quantlib.org/license.shtml>. |
|---|
| 15 | |
|---|
| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
|---|
| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
|---|
| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
|---|
| 19 | */ |
|---|
| 20 | |
|---|
| 21 | /*! \file flathazardrate.hpp |
|---|
| 22 | \brief flat hazard-rate term structure |
|---|
| 23 | */ |
|---|
| 24 | |
|---|
| 25 | #ifndef quantlib_flat_hazard_rate_hpp |
|---|
| 26 | #define quantlib_flat_hazard_rate_hpp |
|---|
| 27 | |
|---|
| 28 | #include <ql/termstructures/credit/hazardratestructure.hpp> |
|---|
| 29 | #include <ql/quote.hpp> |
|---|
| 30 | |
|---|
| 31 | namespace QuantLib { |
|---|
| 32 | |
|---|
| 33 | //! Flat hazard-rate curve |
|---|
| 34 | /*! \ingroup defaultprobabilitytermstructures */ |
|---|
| 35 | class FlatHazardRate : public HazardRateStructure { |
|---|
| 36 | public: |
|---|
| 37 | //! \name Constructors |
|---|
| 38 | //@{ |
|---|
| 39 | FlatHazardRate(const Date& referenceDate, Handle<Quote> hazardRate, const DayCounter&); |
|---|
| 40 | FlatHazardRate(const Date& referenceDate, |
|---|
| 41 | Rate hazardRate, |
|---|
| 42 | const DayCounter&); |
|---|
| 43 | FlatHazardRate(Natural settlementDays, |
|---|
| 44 | const Calendar& calendar, |
|---|
| 45 | Handle<Quote> hazardRate, |
|---|
| 46 | const DayCounter&); |
|---|
| 47 | FlatHazardRate(Natural settlementDays, |
|---|
| 48 | const Calendar& calendar, |
|---|
| 49 | Rate hazardRate, |
|---|
| 50 | const DayCounter&); |
|---|
| 51 | //@} |
|---|
| 52 | //! \name TermStructure interface |
|---|
| 53 | //@{ |
|---|
| 54 | Date maxDate() const override { return Date::maxDate(); } |
|---|
| 55 | //@} |
|---|
| 56 | private: |
|---|
| 57 | //! \name HazardRateStructure interface |
|---|
| 58 | //@{ |
|---|
| 59 | Rate hazardRateImpl(Time) const override { return hazardRate_->value(); } |
|---|
| 60 | //@} |
|---|
| 61 | |
|---|
| 62 | //! \name DefaultProbabilityTermStructure interface |
|---|
| 63 | //@{ |
|---|
| 64 | Probability survivalProbabilityImpl(Time) const override; |
|---|
| 65 | //@} |
|---|
| 66 | |
|---|
| 67 | Handle<Quote> hazardRate_; |
|---|
| 68 | }; |
|---|
| 69 | |
|---|
| 70 | // inline definitions |
|---|
| 71 | |
|---|
| 72 | inline Probability FlatHazardRate::survivalProbabilityImpl(Time t) const { |
|---|
| 73 | return std::exp(x: -hazardRate_->value()*t); |
|---|
| 74 | } |
|---|
| 75 | |
|---|
| 76 | } |
|---|
| 77 | |
|---|
| 78 | #endif |
|---|
| 79 | |
|---|
