GlobalBootstrap< Curve > Class Template Reference

#include <globalbootstrap.hpp>

Collaboration diagram for GlobalBootstrap< Curve >:

Public Member Functions
	GlobalBootstrap (Real accuracy=Null< Real >(), ext::shared_ptr< OptimizationMethod > optimizer=nullptr, ext::shared_ptr< EndCriteria > endCriteria=nullptr)
	GlobalBootstrap (std::vector< ext::shared_ptr< typename Traits::helper > > additionalHelpers, std::function< std::vector< Date >()> additionalDates, AdditionalPenalties additionalPenalties, Real accuracy=Null< Real >(), ext::shared_ptr< OptimizationMethod > optimizer=nullptr, ext::shared_ptr< EndCriteria > endCriteria=nullptr, ext::shared_ptr< AdditionalBootstrapVariables > additionalVariables=nullptr)
	GlobalBootstrap (std::vector< ext::shared_ptr< typename Traits::helper > > additionalHelpers, std::function< std::vector< Date >()> additionalDates, std::function< Array()> additionalPenalties, Real accuracy=Null< Real >(), ext::shared_ptr< OptimizationMethod > optimizer=nullptr, ext::shared_ptr< EndCriteria > endCriteria=nullptr, ext::shared_ptr< AdditionalBootstrapVariables > additionalVariables=nullptr)
void	setup (Curve *ts)
void	calculate () const

Private Types
typedef Curve::traits_type	Traits
typedef Curve::interpolator_type	Interpolator
typedef std::function< Array(const std::vector< Time > &, const std::vector< Real > &)>	AdditionalPenalties

Private Member Functions
void	initialize () const

Private Attributes
Curve *	ts_
Real	accuracy_
ext::shared_ptr< OptimizationMethod >	optimizer_
ext::shared_ptr< EndCriteria >	endCriteria_
std::vector< ext::shared_ptr< typename Traits::helper > >	additionalHelpers_
std::function< std::vector< Date >()>	additionalDates_
AdditionalPenalties	additionalPenalties_
ext::shared_ptr< AdditionalBootstrapVariables >	additionalVariables_
bool	initialized_ = false
bool	validCurve_ = false
Size	firstHelper_
Size	numberHelpers_
Size	firstAdditionalHelper_
Size	numberAdditionalHelpers_

Detailed Description

template<class Curve>
class QuantLib::GlobalBootstrap< Curve >

Global boostrapper, with additional restrictions

The additionalDates functor must return a set of additional dates to add to the interpolation grid. These dates must only depend on the global evaluation date.

The additionalPenalties functor must yield at least as many values such that

number of (usual, alive) rate helpers + number of additional values >= number of data points - 1

(note that the data points contain t=0). These values are treated as additional error terms in the optimization. The usual rate helpers return quoteError here. All error terms are equally weighted.

The additionalHelpers are registered with the curve like the usual rate helpers, but no pillar dates or error terms are added for them. Pillars and error terms have to be added by additionalDates and additionalPenalties.

The additionalVariables interface manages a set of additional variables to add to the optimization. This is useful to optimize model parameters used by rate helpers, for example, convexity adjustments for futures. See SimpleQuoteVariables for a concrete implementation of this interface.

WARNING: This class is known to work with Traits Discount, ZeroYield, Forward, i.e. the usual IR curves traits in QL. It requires Traits::transformDirect() and Traits::transformInverse() to be implemented. Also, check the usage of Traits::updateGuess(), Traits::guess() in this class.

Definition at line 74 of file globalbootstrap.hpp.

Member Typedef Documentation

Traits

typedef Curve::traits_type Traits

private

Definition at line 75 of file globalbootstrap.hpp.

Interpolator

typedef Curve::interpolator_type Interpolator

private

Definition at line 76 of file globalbootstrap.hpp.

AdditionalPenalties

typedef std::function<Array(const std::vector<Time>&, const std::vector<Real>&)> AdditionalPenalties

private

Definition at line 78 of file globalbootstrap.hpp.

Constructor & Destructor Documentation

GlobalBootstrap() [1/3]

GlobalBootstrap	(	Real	accuracy = Null<Real>(),
		ext::shared_ptr< OptimizationMethod >	optimizer = nullptr,
		ext::shared_ptr< EndCriteria >	endCriteria = nullptr
	)

Definition at line 119 of file globalbootstrap.hpp.

GlobalBootstrap() [2/3]

GlobalBootstrap	(	std::vector< ext::shared_ptr< typename Traits::helper > >	additionalHelpers,
		std::function< std::vector< Date >()>	additionalDates,
		AdditionalPenalties	additionalPenalties,
		Real	accuracy = Null<Real>(),
		ext::shared_ptr< OptimizationMethod >	optimizer = nullptr,
		ext::shared_ptr< EndCriteria >	endCriteria = nullptr,
		ext::shared_ptr< AdditionalBootstrapVariables >	additionalVariables = nullptr
	)

Definition at line 127 of file globalbootstrap.hpp.

GlobalBootstrap() [3/3]

GlobalBootstrap	(	std::vector< ext::shared_ptr< typename Traits::helper > >	additionalHelpers,
		std::function< std::vector< Date >()>	additionalDates,
		std::function< Array()>	additionalPenalties,
		Real	accuracy = Null<Real>(),
		ext::shared_ptr< OptimizationMethod >	optimizer = nullptr,
		ext::shared_ptr< EndCriteria >	endCriteria = nullptr,
		ext::shared_ptr< AdditionalBootstrapVariables >	additionalVariables = nullptr
	)

Definition at line 141 of file globalbootstrap.hpp.

Member Function Documentation

setup()

void setup

(

Curve *

ts

)

Definition at line 158 of file globalbootstrap.hpp.

calculate()

void calculate

Definition at line 258 of file globalbootstrap.hpp.

Here is the call graph for this function:

initialize()

void initialize

private

Definition at line 178 of file globalbootstrap.hpp.

Member Data Documentation

ts_

Curve* ts_

private

Definition at line 103 of file globalbootstrap.hpp.

accuracy_

Real accuracy_

private

Definition at line 104 of file globalbootstrap.hpp.

optimizer_

ext::shared_ptr<OptimizationMethod> optimizer_

private

Definition at line 105 of file globalbootstrap.hpp.

endCriteria_

ext::shared_ptr<EndCriteria> endCriteria_

private

Definition at line 106 of file globalbootstrap.hpp.

additionalHelpers_

std::vector<ext::shared_ptr<typename Traits::helper> > additionalHelpers_

mutableprivate

Definition at line 107 of file globalbootstrap.hpp.

additionalDates_

std::function<std::vector<Date>()> additionalDates_

private

Definition at line 108 of file globalbootstrap.hpp.

additionalPenalties_

AdditionalPenalties additionalPenalties_

private

Definition at line 109 of file globalbootstrap.hpp.

additionalVariables_

ext::shared_ptr<AdditionalBootstrapVariables> additionalVariables_

private

Definition at line 110 of file globalbootstrap.hpp.

initialized_

bool initialized_ = false

mutableprivate

Definition at line 111 of file globalbootstrap.hpp.

validCurve_

bool validCurve_ = false

private

Definition at line 111 of file globalbootstrap.hpp.

firstHelper_

Size firstHelper_

mutableprivate

Definition at line 112 of file globalbootstrap.hpp.

numberHelpers_

Size numberHelpers_

private

Definition at line 112 of file globalbootstrap.hpp.

firstAdditionalHelper_

Size firstAdditionalHelper_

mutableprivate

Definition at line 113 of file globalbootstrap.hpp.

numberAdditionalHelpers_

Size numberAdditionalHelpers_

private

Definition at line 113 of file globalbootstrap.hpp.