GlobalBootstrap< Curve > Class Template Reference

Global boostrapper, with additional restrictions. More...

#include <ql/termstructures/globalbootstrap.hpp>

Collaboration diagram for GlobalBootstrap< Curve >:

Public Member Functions
	GlobalBootstrap (Real accuracy=Null< Real >())
	GlobalBootstrap (std::vector< ext::shared_ptr< typename Traits::helper > > additionalHelpers, ext::function< std::vector< Date >()> additionalDates, ext::function< Array()> additionalErrors, Real accuracy=Null< Real >())
void	setup (Curve *ts)
void	calculate () const

Private Types
typedef Curve::traits_type	Traits
typedef Curve::interpolator_type	Interpolator

Private Member Functions
void	initialize () const

Private Attributes
Curve *	ts_
Real	accuracy_
std::vector< ext::shared_ptr< typename Traits::helper > >	additionalHelpers_
ext::function< std::vector< Date >()>	additionalDates_
ext::function< Array()>	additionalErrors_
bool	initialized_ = false
bool	validCurve_ = false
Size	firstHelper_
Size	numberHelpers_
Size	firstAdditionalHelper_
Size	numberAdditionalHelpers_
Size	firstAdditionalDate_
Size	numberAdditionalDates_
std::vector< Real >	lowerBounds_
std::vector< Real >	upperBounds_

Detailed Description

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

Global boostrapper, with additional restrictions.

Definition at line 39 of file globalbootstrap.hpp.

Member Typedef Documentation

Traits

typedef Curve::traits_type Traits

private

Definition at line 40 of file globalbootstrap.hpp.

Interpolator

typedef Curve::interpolator_type Interpolator

private

Definition at line 41 of file globalbootstrap.hpp.

Constructor & Destructor Documentation

GlobalBootstrap() [1/2]

GlobalBootstrap

(

Real

accuracy = Null<Real>()

)

Definition at line 85 of file globalbootstrap.hpp.

GlobalBootstrap() [2/2]

GlobalBootstrap	(	std::vector< ext::shared_ptr< typename Traits::helper > >	additionalHelpers,
		ext::function< std::vector< Date >()>	additionalDates,
		ext::function< Array()>	additionalErrors,
		Real	accuracy = Null<Real>()
	)

The set of (alive) additional dates is added to the interpolation grid. The set of additional dates must only depend on the current global evaluation date. The additionalErrors functor must yield at least as many values such that

number of (usual, alive) rate helpers + number of (alive) 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 marketQuote - impliedQuote here. All error terms are equally weighted in the optimisation.

The additional helpers are treated like the usual rate helpers, but no standard pillar dates are added for them.

WARNING: This class is known to work with Traits Discount, ZeroYield, Forward (i.e. the usual traits for IR curves in QL), it might fail for other traits - check the usage of Traits::updateGuess(), Traits::guess(), Traits::minValueAfter(), Traits::maxValueAfter() in this class against them.

Definition at line 88 of file globalbootstrap.hpp.

Member Function Documentation

setup()

void setup

(

Curve *

ts

)

Definition at line 96 of file globalbootstrap.hpp.

calculate()

void calculate

Definition at line 188 of file globalbootstrap.hpp.

Here is the call graph for this function:

initialize()

void initialize

private

Definition at line 107 of file globalbootstrap.hpp.

Member Data Documentation

ts_

Curve* ts_

private

Definition at line 70 of file globalbootstrap.hpp.

accuracy_

Real accuracy_

private

Definition at line 71 of file globalbootstrap.hpp.

additionalHelpers_

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

mutableprivate

Definition at line 72 of file globalbootstrap.hpp.

additionalDates_

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

private

Definition at line 73 of file globalbootstrap.hpp.

additionalErrors_

ext::function<Array()> additionalErrors_

private

Definition at line 74 of file globalbootstrap.hpp.

initialized_

bool initialized_ = false

mutableprivate

Definition at line 75 of file globalbootstrap.hpp.

validCurve_

bool validCurve_ = false

private

Definition at line 75 of file globalbootstrap.hpp.

firstHelper_

Size firstHelper_

mutableprivate

Definition at line 76 of file globalbootstrap.hpp.

numberHelpers_

Size numberHelpers_

private

Definition at line 76 of file globalbootstrap.hpp.

firstAdditionalHelper_

Size firstAdditionalHelper_

mutableprivate

Definition at line 77 of file globalbootstrap.hpp.

numberAdditionalHelpers_

Size numberAdditionalHelpers_

private

Definition at line 77 of file globalbootstrap.hpp.

firstAdditionalDate_

Size firstAdditionalDate_

mutableprivate

Definition at line 78 of file globalbootstrap.hpp.

numberAdditionalDates_

Size numberAdditionalDates_

private

Definition at line 78 of file globalbootstrap.hpp.

lowerBounds_

std::vector<Real> lowerBounds_

mutableprivate

Definition at line 79 of file globalbootstrap.hpp.

upperBounds_

std::vector<Real> upperBounds_

private

Definition at line 79 of file globalbootstrap.hpp.