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_rateslist of float

corresponding list of hazard rates

day_counterDayCounter

calCalendar

Attributes:

calendar

Calendar: calendar

data

list of curve data

dates

list of curve dates

day_counter

DayCounter: day counter

hazard_rates

list of curve hazard rates

jump_dates

jump_times

max_date

Date: the latest date for which the curve can return values

max_time

Time: the latest time for which the curve can return values

reference_date

Date: the date at which discount = 1.0 and/or variance = 0.0

settlement_days

int: number of settlement days used for reference date calculation

times

list of curve times

Methods

hazard_rate(self, d, bool extrapolate=False)	Hazard rate
survival_probability(self, d, ...)	Survival probability
time_from_reference(self, Date dt)	date/time conversion