multi section default ts
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#include <qle/termstructures/multisectiondefaultcurve.hpp>
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| MultiSectionDefaultCurve (const std::vector< Handle< DefaultProbabilityTermStructure > > &sourceCurves, const std::vector< Handle< Quote > > recoveryRates, const std::vector< Date > &switchDates, const Handle< Quote > recoveryRate, const DayCounter &dayCounter, const bool extrapolate) |
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Date | maxDate () const override |
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const Date & | referenceDate () const override |
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Real | survivalProbabilityImpl (Time t) const override |
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void | update () override |
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const std::vector< Handle< DefaultProbabilityTermStructure > > | sourceCurves_ |
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const std::vector< Handle< Quote > > | recoveryRates_ |
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const std::vector< Date > | switchDates_ |
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const Handle< Quote > | recoveryRate_ |
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std::vector< Time > | switchTimes_ |
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multi section default ts
the instantaneous hazard rate is defined by the ith source curve for dates before the ith switch date and after the (i-1)th switch date; all source curves must be consistently floating or fixed and have the same reference date always; the day counter of all source curves should coincide with the dc of this curve