quantlib.termstructures.credit.piecewise_default_curve.

PiecewiseDefaultCurve

class PiecewiseDefaultCurve(ProbabilityTrait trait, Interpolator interpolator, Natural settlement_days, Calendar calendar, list helpers, DayCounter daycounter, Real accuracy=1e-12)

Bases: DefaultProbabilityTermStructure

Attributes:

calendar

Calendar: calendar

data

list of curve data

dates

list of curve dates

day_counter

DayCounter: day counter

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

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