IterativeBootstrap< Curve > Class Template Reference

Universal piecewise-term-structure boostrapper. More...

#include <iterativebootstrap.hpp>

Inheritance diagram for IterativeBootstrap< Curve >:

Collaboration diagram for IterativeBootstrap< Curve >:

Public Member Functions
	IterativeBootstrap (Real accuracy=Null< Real >(), Real minValue=Null< Real >(), Real maxValue=Null< Real >(), Size maxAttempts=1, Real maxFactor=2.0, Real minFactor=2.0, bool dontThrow=false, Size dontThrowSteps=10, Size maxEvaluations=MAX_FUNCTION_EVALUATIONS)
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
Real	accuracy_
Real	minValue_
Real	maxValue_
Size	maxAttempts_
Real	maxFactor_
Real	minFactor_
bool	dontThrow_
Size	dontThrowSteps_
Curve *	ts_
Size	n_ = 0
Brent	firstSolver_
FiniteDifferenceNewtonSafe	solver_
bool	initialized_ = false
bool	validCurve_ = false
bool	loopRequired_
Size	firstAliveHelper_ = 0
Size	alive_ = 0
std::vector< Real >	previousData_
std::vector< ext::shared_ptr< BootstrapError< Curve > > >	errors_

Detailed Description

template<class Curve>
class QuantLib::IterativeBootstrap< Curve >

Universal piecewise-term-structure boostrapper.

Definition at line 78 of file iterativebootstrap.hpp.

Member Typedef Documentation

Traits

typedef Curve::traits_type Traits

private

Definition at line 79 of file iterativebootstrap.hpp.

Interpolator

typedef Curve::interpolator_type Interpolator

private

Definition at line 80 of file iterativebootstrap.hpp.

Constructor & Destructor Documentation

IterativeBootstrap()

IterativeBootstrap	(	Real	accuracy = Null<Real>(),
		Real	minValue = Null<Real>(),
		Real	maxValue = Null<Real>(),
		Size	maxAttempts = 1,
		Real	maxFactor = 2.0,
		Real	minFactor = 2.0,
		bool	dontThrow = false,
		Size	dontThrowSteps = 10,
		Size	maxEvaluations = MAX_FUNCTION_EVALUATIONS
	)

Constructor

Parameters

accuracy	Accuracy for the bootstrap stopping criterion. If it is set to Null<Real>(), its value is taken from the termstructure's accuracy.
minValue	Allow to override the initial minimum value coming from traits.
maxValue	Allow to override the initial maximum value coming from traits.
maxAttempts	Number of attempts on each iteration. A number greater than 1 implies retries.
maxFactor	Factor for max value retry on each iteration if there is a failure.
minFactor	Factor for min value retry on each iteration if there is a failure.
dontThrow	If set to true, the bootstrap doesn't throw and returns a fall back result.
dontThrowSteps	If dontThrow is true, this gives the number of steps to use when searching for a fallback curve pillar value that gives the minimum bootstrap helper error.

Definition at line 129 of file iterativebootstrap.hpp.

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Member Function Documentation

setup()

void setup

(

Curve *

ts

)

Definition at line 148 of file iterativebootstrap.hpp.

calculate()

void calculate

Definition at line 233 of file iterativebootstrap.hpp.

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initialize()

void initialize

private

Definition at line 160 of file iterativebootstrap.hpp.

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Member Data Documentation

accuracy_

Real accuracy_

private

Definition at line 108 of file iterativebootstrap.hpp.

minValue_

Real minValue_

private

Definition at line 109 of file iterativebootstrap.hpp.

maxValue_

Real maxValue_

private

Definition at line 109 of file iterativebootstrap.hpp.

maxAttempts_

Size maxAttempts_

private

Definition at line 110 of file iterativebootstrap.hpp.

maxFactor_

Real maxFactor_

private

Definition at line 111 of file iterativebootstrap.hpp.

minFactor_

Real minFactor_

private

Definition at line 112 of file iterativebootstrap.hpp.

dontThrow_

bool dontThrow_

private

Definition at line 113 of file iterativebootstrap.hpp.

dontThrowSteps_

Size dontThrowSteps_

private

Definition at line 114 of file iterativebootstrap.hpp.

ts_

Curve* ts_

private

Definition at line 115 of file iterativebootstrap.hpp.

n_

Size n_ = 0

private

Definition at line 116 of file iterativebootstrap.hpp.

firstSolver_

Brent firstSolver_

private

Definition at line 117 of file iterativebootstrap.hpp.

solver_

FiniteDifferenceNewtonSafe solver_

private

Definition at line 118 of file iterativebootstrap.hpp.

initialized_

bool initialized_ = false

mutableprivate

Definition at line 119 of file iterativebootstrap.hpp.

validCurve_

bool validCurve_ = false

private

Definition at line 119 of file iterativebootstrap.hpp.

loopRequired_

bool loopRequired_

private

Definition at line 119 of file iterativebootstrap.hpp.

firstAliveHelper_

Size firstAliveHelper_ = 0

mutableprivate

Definition at line 120 of file iterativebootstrap.hpp.

alive_

Size alive_ = 0

private

Definition at line 120 of file iterativebootstrap.hpp.

previousData_

std::vector<Real> previousData_

mutableprivate

Definition at line 121 of file iterativebootstrap.hpp.

errors_

std::vector<ext::shared_ptr<BootstrapError<Curve> > > errors_

mutableprivate

Definition at line 122 of file iterativebootstrap.hpp.