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:

interpolatorint {Linear, LogLinear, BackwardFlat}

can be one of Linear, LogLinear, BackwardFlat

dateslist of Date

list of dates

hazard_rates: :obj:`list` of float

corresponding list of hazard rates

day_counter: :class:`~quantlib.time.daycounter.DayCounter`

cal: :class:`~quantlib.time.calendar.Calendar`

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

Methods

hazard_rate(self, d, bool extrapolate=False)
survival_probability(self, d, ...)
time_from_reference(self, Date dt)