Base fitting method used to construct a fitted bond discount curve. More...

#include <fittedbonddiscountcurve.hpp>

Inheritance diagram for FittedBondDiscountCurve::FittingMethod:

Collaboration diagram for FittedBondDiscountCurve::FittingMethod:

Public Member Functions
virtual	~FittingMethod ()=default

virtual Size	size () const =0
	total number of coefficients to fit/solve for More...

Array	solution () const
	output array of results of optimization problem More...

Integer	numberOfIterations () const
	final number of iterations used in the optimization problem More...

Real	minimumCostValue () const
	final value of cost function after optimization More...

EndCriteria::Type	errorCode () const
	error code of the optimization More...

virtual std::unique_ptr< FittingMethod >	clone () const =0
	clone of the current object More...

bool	constrainAtZero () const
	return whether there is a constraint at zero More...

Array	weights () const
	return weights being used More...

Array	l2 () const
	return l2 penalties being used More...

ext::shared_ptr< OptimizationMethod >	optimizationMethod () const
	return optimization method being used More...

const Constraint &	constraint () const
	return optimization contraint More...

DiscountFactor	discount (const Array &x, Time t) const
	open discountFunction to public More...

Protected Member Functions
	FittingMethod (bool constrainAtZero=true, const Array &weights=Array(), ext::shared_ptr< OptimizationMethod > optimizationMethod=ext::shared_ptr< OptimizationMethod >(), Array l2=Array(), Real minCutoffTime=0.0, Real maxCutoffTime=QL_MAX_REAL, Constraint constraint=NoConstraint())
	constructors More...

virtual void	init ()
	rerun every time instruments/referenceDate changes More...

virtual DiscountFactor	discountFunction (const Array &x, Time t) const =0
	discount function called by FittedBondDiscountCurve More...

Protected Attributes
bool	constrainAtZero_
	constrains discount function to unity at \( T=0 \), if true More...

FittedBondDiscountCurve *	curve_
	internal reference to the FittedBondDiscountCurve instance More...

Array	solution_
	solution array found from optimization, set in calculate() More...

Array	guessSolution_
	optional guess solution to be passed into constructor. More...

ext::shared_ptr< FittingCost >	costFunction_
	base class sets this cost function used in the optimization routine More...

Private Member Functions
void	calculate ()

Private Attributes
Array	weights_

Array	l2_

bool	calculateWeights_

Integer	numberOfIterations_

Real	costValue_

EndCriteria::Type	errorCode_ = EndCriteria::None

ext::shared_ptr< OptimizationMethod >	optimizationMethod_

Constraint	constraint_

Real	minCutoffTime_

Real	maxCutoffTime_

Friends
class	FittedBondDiscountCurve

Detailed Description

Base fitting method used to construct a fitted bond discount curve.

This base class provides the specific methodology/strategy used to construct a FittedBondDiscountCurve. Derived classes need only define the virtual function discountFunction() based on the particular fitting method to be implemented, as well as size(), the number of variables to be solved for/optimized. The generic fitting methodology implemented here can be termed nonlinear, in contrast to (typically faster, computationally) linear fitting method.

Optional parameters for FittingMethod include an Array of weights, which will be used as weights to each bond. If not given or empty, then the bonds will be weighted by inverse duration

An optional Array may be provided as an L2 regularizor in this case a L2 (gaussian) penalty is applied to each parameter starting from the initial guess. This is the same as giving a Gaussian prior on the parameters

\[ d(t) = \sum_{i=0} c_i b_i(t) \]

i.e., linear in the unknown coefficients \( c_i \). Such a fitting can be reduced to a linear algebra problem \( Ax = b \), and for large numbers of bonds, would typically be much faster computationally than the generic non-linear fitting method.

Warning:: some parameters to the Simplex optimization method may need to be tweaked internally to the class, depending on the fitting method used, in order to get proper/reasonable/faster convergence.

Definition at line 203 of file fittedbonddiscountcurve.hpp.

Constructor & Destructor Documentation

◆ ~FittingMethod()

virtual ~FittingMethod ( )

virtualdefault

◆ FittingMethod()

FittingMethod	(	bool	constrainAtZero = `true`,
		const Array &	weights = `Array()`,
		ext::shared_ptr< OptimizationMethod >	optimizationMethod = `ext::shared_ptr<OptimizationMethod>()`,
		Array	l2 = `Array()`,
		Real	minCutoffTime = `0.0`,
		Real	maxCutoffTime = `QL_MAX_REAL`,
		Constraint	constraint = `NoConstraint()`
	)