Bootstapping hazard rates with non-linear interpolators

Posted by ChrisT on Apr 26, 2016; 11:34am
URL: http://quantlib.414.s1.nabble.com/Bootstapping-hazard-rates-with-non-linear-interpolators-tp17424.html

Hi,

I have been using QuantLib 1.6.2 to extract the hazard rates from a CDS curve. The relevant code is similar to the example "CDS.cpp" that comes with the QuantLib distribution, i.e.,

boost::shared_ptr<PiecewiseDefaultCurve<HazardRate, BackwardFlat> > hazardRateStructure(new PiecewiseDefaultCurve<HazardRate, BackwardFlat> (todaysDate, instruments, Actual365Fixed()));


I tried to experiment with different non-linear interpolation methods (instead of "BackwardFlat" used above), i.e.,

        CubicNaturalSpline
        KrugerCubic
        Parabolic
        FritschButlandCubic
        MonotonicParabolic

but I am getting the error "no appropriate default constructor available". What is the proper way of passing one of  these interpolators to the PiecewiseDefaultCurve class?

Thank you,

Chris