LocalBootstrap< Curve > Class Template Reference

Localised-term-structure bootstrapper for most curve types. More...

#include <localbootstrap.hpp>

Collaboration diagram for LocalBootstrap< Curve >:

Public Member Functions
	LocalBootstrap (Size localisation=2, bool forcePositive=true, Real accuracy=Null< Real >())
void	setup (Curve *ts)
void	calculate () const

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

Private Attributes
bool	validCurve_ = false
Curve *	ts_
Size	localisation_
bool	forcePositive_
Real	accuracy_

Detailed Description

template<class Curve>
class QuantLib::LocalBootstrap< Curve >

Localised-term-structure bootstrapper for most curve types.

This algorithm enables a localised fitting for non-local interpolation methods.

As in the similar class (IterativeBootstrap) the input term structure is solved on a number of market instruments which are passed as a vector of handles to BootstrapHelper instances. Their maturities mark the boundaries of the interpolated segments.

Unlike the IterativeBootstrap class, the solution for each interpolated segment is derived using a local approximation. This restricts the risk profile s.t. the risk is localised. Therefore, we obtain a local IR risk profile whilst using a smoother interpolation method. Particularly good for the convex-monotone spline method.

Definition at line 85 of file localbootstrap.hpp.

Member Typedef Documentation

Traits

typedef Curve::traits_type Traits

private

Definition at line 86 of file localbootstrap.hpp.

Interpolator

typedef Curve::interpolator_type Interpolator

private

Definition at line 87 of file localbootstrap.hpp.

Constructor & Destructor Documentation

LocalBootstrap()

LocalBootstrap	(	Size	localisation = 2,
		bool	forcePositive = true,
		Real	accuracy = Null<Real>()
	)

Definition at line 108 of file localbootstrap.hpp.

Member Function Documentation

setup()

void setup

(

Curve *

ts

)

Definition at line 113 of file localbootstrap.hpp.

calculate()

void calculate

Definition at line 132 of file localbootstrap.hpp.

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Member Data Documentation

validCurve_

bool validCurve_ = false

mutableprivate

Definition at line 96 of file localbootstrap.hpp.

ts_

Curve* ts_

private

Definition at line 97 of file localbootstrap.hpp.

localisation_

Size localisation_

private

Definition at line 98 of file localbootstrap.hpp.

forcePositive_

bool forcePositive_

private

Definition at line 99 of file localbootstrap.hpp.

accuracy_

Real accuracy_

private

Definition at line 100 of file localbootstrap.hpp.