Overview

functions to construct and use DefaultProbabilityTermStructure objects.

Function List

qlDefaultTSDefaultProbability ()
qlFlatHazardRate ()
qlProbabilityToHR ()
qlRelinkableHandleDefaultProbabilityTermStructure ()

Function Documentation

qlDefaultTSDefaultProbability

vector<double> returnValue
 
qlDefaultTSDefaultProbability(
        string ObjectId
        vector<long> Dates
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the probability of default between the reference date and the given date from the given DefaultProbabilityTermStructure object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::DefaultProbabilityTermStructure object
Dates	vector of dates.
AllowExtrapolation	TRUE allows extrapolation. Default value = false.
Trigger	dependency tracking trigger

qlFlatHazardRate

string returnValue
 
qlFlatHazardRate(
        string ObjectId
        long NDays
        string Calendar
        string Rate
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FlatHazardRate and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
NDays	number of days to advance from EvaluationDate (usually zero or two): it fixes the date at which the discount factor = 1.0. Default value = 0.
Calendar	holiday calendar (e.g. TARGET) to advance from global EvaluationDate. Default value = NullCalendar.
Rate	the curve level.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlProbabilityToHR

double returnValue
 
qlProbabilityToHR(
        double Probability
        long Date
        string DayCounter
        any Trigger)

Description:

Turns a given probability into a flat hazard rate.

Supported Platforms:

Excel

Parameters

Probability	Probability.
Date	Date of the probability given.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Trigger	dependency tracking trigger

qlRelinkableHandleDefaultProbabilityTermStructure

string returnValue
 
qlRelinkableHandleDefaultProbabilityTermStructure(
        string ObjectId
        string CurrentLink
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RelinkableHandleImpl<QuantLibAddin::DefaultProbabilityTermStructure, QuantLib::DefaultProbabilityTermStructure> and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
CurrentLink	DefaultProbabilityTermStructure object ID. If omitted, nothing is linked by the RelinkableHandle. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag