Spreaded Default Term Structure, the spread is given in terms of loglinearly interpolated survival probabilities. More...
#include <qle/termstructures/spreadedsurvivalprobabilitytermstructure.hpp>
Public Types | |
enum class | Extrapolation { flatFwd , flatZero } |
Public Member Functions | |
SpreadedSurvivalProbabilityTermStructure (const Handle< DefaultProbabilityTermStructure > &referenceCurve, const std::vector< Time > ×, const std::vector< Handle< Quote >> &spreads, const Extrapolation extrapolation=Extrapolation::flatFwd) | |
times should be consistent with reference ts day counter | |
Spreaded Default Term Structure, the spread is given in terms of loglinearly interpolated survival probabilities.