QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Spread fitting method helper. More...
#include <nonlinearfittingmethods.hpp>
Public Member Functions | |
SpreadFittingMethod (const ext::shared_ptr< FittingMethod > &method, Handle< YieldTermStructure > discountCurve, Real minCutoffTime=0.0, Real maxCutoffTime=QL_MAX_REAL) | |
std::unique_ptr< FittedBondDiscountCurve::FittingMethod > | clone () const override |
clone of the current object More... | |
Public Member Functions inherited from FittedBondDiscountCurve::FittingMethod | |
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... | |
DiscountFactor | discount (const Array &x, Time t) const |
open discountFunction to public More... | |
Protected Member Functions | |
void | init () override |
rerun every time instruments/referenceDate changes More... | |
Protected Member Functions inherited from FittedBondDiscountCurve::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) | |
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... | |
Private Member Functions | |
Size | size () const override |
total number of coefficients to fit/solve for More... | |
DiscountFactor | discountFunction (const Array &x, Time t) const override |
discount function called by FittedBondDiscountCurve More... | |
Private Attributes | |
ext::shared_ptr< FittingMethod > | method_ |
DiscountFactor | rebase_ |
Handle< YieldTermStructure > | discountingCurve_ |
Additional Inherited Members | |
Protected Attributes inherited from FittedBondDiscountCurve::FittingMethod | |
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... | |
Spread fitting method helper.
Definition at line 232 of file nonlinearfittingmethods.hpp.
SpreadFittingMethod | ( | const ext::shared_ptr< FittingMethod > & | method, |
Handle< YieldTermStructure > | discountCurve, | ||
Real | minCutoffTime = 0.0 , |
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Real | maxCutoffTime = QL_MAX_REAL |
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) |
Definition at line 327 of file nonlinearfittingmethods.cpp.
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overridevirtual |
clone of the current object
Implements FittedBondDiscountCurve::FittingMethod.
Definition at line 344 of file nonlinearfittingmethods.cpp.
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overrideprotectedvirtual |
rerun every time instruments/referenceDate changes
Reimplemented from FittedBondDiscountCurve::FittingMethod.
Definition at line 357 of file nonlinearfittingmethods.cpp.
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overrideprivatevirtual |
total number of coefficients to fit/solve for
Implements FittedBondDiscountCurve::FittingMethod.
Definition at line 349 of file nonlinearfittingmethods.cpp.
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overrideprivatevirtual |
discount function called by FittedBondDiscountCurve
Implements FittedBondDiscountCurve::FittingMethod.
Definition at line 353 of file nonlinearfittingmethods.cpp.
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private |
Definition at line 247 of file nonlinearfittingmethods.hpp.
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private |
Definition at line 249 of file nonlinearfittingmethods.hpp.
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private |
Definition at line 251 of file nonlinearfittingmethods.hpp.