quantlib.termstructures.credit.interpolated_hazardrate_curve.InterpolatedHazardRateCurve

class InterpolatedHazardRateCurve(Interpolator interpolator, list dates, vector[Rate] hazard_rates, DayCounter day_counter, Calendar cal=Calendar())

Bases: DefaultProbabilityTermStructure

DefaultProbabilityTermStructure based on interpolation of hazard rates

Parameters:

• interpolator (int {Linear, LogLinear, BackwardFlat}) – can be one of Linear, LogLinear, BackwardFlat

• dates (list of Date) – list of dates

• hazard_rates (list of float) – corresponding list of hazard rates

• day_counter (DayCounter)

• cal (Calendar)

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
hazard_rate(self, d, bool extrapolate=False)
survival_probability(self, d, ...)
time_from_reference(self, Date dt)

Attributes

data	list of curve data
dates	list of curve dates
day_counter
hazard_rates	list of curve hazard rates
jump_dates
jump_times
max_date
max_time
reference_date
settlement_days
times	list of curve times

data

list of curve data

dates

list of curve dates

hazard_rates

list of curve hazard rates

times

list of curve times