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<!-- doxytag: class="QuantLib::HazardRateStructure" --><!-- doxytag: inherits="QuantLib::DefaultProbabilityTermStructure" -->
<p>Hazard-rate term structure.
<a href="class_quant_lib_1_1_hazard_rate_structure.html#details">More...</a></p>
<p><code>#include <ql/termstructures/credit/hazardratestructure.hpp></code></p>
<div class="dynheader">
Inheritance diagram for HazardRateStructure:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_hazard_rate_structure__inherit__graph.png" border="0" usemap="#_hazard_rate_structure_inherit__map" alt="Inheritance graph"/></div>
<map name="_hazard_rate_structure_inherit__map" id="_hazard_rate_structure_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_factor_spreaded_hazard_rate_curve.html" title="Default-probability structure with a multiplicative spread on hazard rates." alt="" coords="487,5,703,35"/><area shape="rect" id="node7" href="class_quant_lib_1_1_flat_hazard_rate.html" title="Flat hazard-rate curve." alt="" coords="539,58,651,89"/><area shape="rect" id="node9" href="class_quant_lib_1_1_interpolated_hazard_rate_curve.html" title="DefaultProbabilityTermStructure based on interpolation of hazard rates." alt="" coords="455,111,735,142"/><area shape="rect" id="node11" href="class_quant_lib_1_1_spreaded_hazard_rate_curve.html" title="Default-probability structure with an additive spread on hazard rates." alt="" coords="505,165,684,195"/><area shape="rect" id="node2" href="class_quant_lib_1_1_default_probability_term_structure.html" title="Default probability term structure." alt="" coords="7,85,212,115"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_hazard_rate_structure-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>See the <a class="el" href="class_quant_lib_1_1_term_structure.html" title="Basic term-structure functionality.">TermStructure</a> documentation for issues regarding constructors. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aebe7f4eec2f7b0ac408f119e8f55f00f"></a><!-- doxytag: member="QuantLib::HazardRateStructure::HazardRateStructure" ref="aebe7f4eec2f7b0ac408f119e8f55f00f" args="(const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())" -->
 </td><td class="memItemRight" valign="bottom"><b>HazardRateStructure</b> (const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>(), const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > &jumps=std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > >(), const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &jumpDates=std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="add911afdb453b876956e1b50c38155ee"></a><!-- doxytag: member="QuantLib::HazardRateStructure::HazardRateStructure" ref="add911afdb453b876956e1b50c38155ee" args="(const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())" -->
 </td><td class="memItemRight" valign="bottom"><b>HazardRateStructure</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#aa9ae6cc6009ac64d4f265065eab08be0">referenceDate</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>(), const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > &jumps=std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > >(), const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &jumpDates=std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7f10554b257e7721ec11501c3d0c2ba7"></a><!-- doxytag: member="QuantLib::HazardRateStructure::HazardRateStructure" ref="a7f10554b257e7721ec11501c3d0c2ba7" args="(Natural settlementDays, const Calendar &cal, const DayCounter &dayCounter=DayCounter(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >())" -->
 </td><td class="memItemRight" valign="bottom"><b>HazardRateStructure</b> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#ab6506da60fec85c6f146f1b43116de70">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>(), const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > &jumps=std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > >(), const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &jumpDates=std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> >())</td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Calculations</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>This method must be implemented in derived classes to perform the actual calculations. When it is called, range check has already been performed; therefore, it must assume that extrapolation is required. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0186c4f02893fb518ec1eac362e77e35"></a><!-- doxytag: member="QuantLib::HazardRateStructure::hazardRateImpl" ref="a0186c4f02893fb518ec1eac362e77e35" args="(Time) const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_hazard_rate_structure.html#a0186c4f02893fb518ec1eac362e77e35">hazardRateImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">hazard rate calculation <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">DefaultProbabilityTermStructure implementation</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_hazard_rate_structure.html#a9ea9cd8b6b75f0c6e5ed1d907dfe63e1">survivalProbabilityImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aacf490703e42933ebc53ef281a4a38fb"></a><!-- doxytag: member="QuantLib::HazardRateStructure::defaultDensityImpl" ref="aacf490703e42933ebc53ef281a4a38fb" args="(Time) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_hazard_rate_structure.html#aacf490703e42933ebc53ef281a4a38fb">defaultDensityImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">default density calculation <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Hazard-rate term structure. </p>
<p>This abstract class acts as an adapter to <a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html" title="Default probability term structure.">DefaultProbabilityTermStructure</a> allowing the programmer to implement only the <code>hazardRateImpl(Time)</code> method in derived classes.</p>
<p>Survival/default probabilities and default densities are calculated from hazard rates.</p>
<p>Hazard rates are defined with annual frequency and continuous compounding. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a9ea9cd8b6b75f0c6e5ed1d907dfe63e1"></a><!-- doxytag: member="QuantLib::HazardRateStructure::survivalProbabilityImpl" ref="a9ea9cd8b6b75f0c6e5ed1d907dfe63e1" args="(Time) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> <a class="el" href="class_quant_lib_1_1_hazard_rate_structure.html#a9ea9cd8b6b75f0c6e5ed1d907dfe63e1">survivalProbabilityImpl</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"></td><td>)</td>
<td> const<code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>survival probability calculation implemented in terms of the hazard rate <img class="formulaInl" alt="$ h(t) $" src="form_369.png"/> as </p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ S(t) = \exp\left( - \int_0^t h(\tau) d\tau \right). \]" src="form_370.png"/>
</p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000109">Warning:</a></b></dt><dd>This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available. </dd></dl>
<p>Implements <a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html#a344fea84748c884236cd26be3f3b1dd5">DefaultProbabilityTermStructure</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_interpolated_hazard_rate_curve.html#a9ea9cd8b6b75f0c6e5ed1d907dfe63e1">InterpolatedHazardRateCurve< Interpolator ></a>.</p>
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