/usr/include/ql/termstructures/iterativebootstrap.hpp is in libquantlib0-dev 1.1-2build1.
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/*
Copyright (C) 2008 Ferdinando Ametrano
Copyright (C) 2007 Chris Kenyon
Copyright (C) 2007 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file iterativebootstrap.hpp
\brief universal piecewise-term-structure boostrapper.
*/
#ifndef quantlib_iterative_bootstrap_hpp
#define quantlib_iterative_bootstrap_hpp
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/termstructures/bootstraperror.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
//! Universal piecewise-term-structure boostrapper.
template <class Curve>
class IterativeBootstrap {
typedef typename Curve::traits_type Traits;
typedef typename Curve::interpolator_type Interpolator;
public:
IterativeBootstrap();
void setup(Curve* ts);
void calculate() const;
private:
void initialize() const;
mutable bool validCurve_;
Curve* ts_;
mutable Size firstInstrument_;
};
// template definitions
template <class Curve>
IterativeBootstrap<Curve>::IterativeBootstrap()
: validCurve_(false), ts_(0) {}
template <class Curve>
void IterativeBootstrap<Curve>::setup(Curve* ts) {
ts_ = ts;
Size n = ts_->instruments_.size();
for (Size i=0; i<n; ++i)
ts_->registerWith(ts_->instruments_[i]);
}
template <class Curve>
void IterativeBootstrap<Curve>::initialize() const {
// ensure rate helpers are sorted
std::sort(ts_->instruments_.begin(), ts_->instruments_.end(),
detail::BootstrapHelperSorter());
// skip expired instruments
Date firstDate = Traits::initialDate(ts_);
Size n = ts_->instruments_.size();
QL_REQUIRE(ts_->instruments_[n-1]->latestDate()>firstDate,
"all instruments expired");
firstInstrument_ = 0;
while (ts_->instruments_[firstInstrument_]->latestDate() <= firstDate)
++firstInstrument_;
Size alive = n-firstInstrument_;
QL_REQUIRE(alive >= Interpolator::requiredPoints-1,
"not enough alive instruments: " << alive <<
" provided, " << Interpolator::requiredPoints-1 <<
" required");
// calculate dates and times
ts_->dates_.resize(alive+1);
ts_->times_.resize(alive+1);
ts_->dates_[0] = firstDate;
ts_->times_[0] = ts_->timeFromReference(firstDate);
Size j=1; // pillar counter
for (Size i=firstInstrument_; i<n; ++i) {
// check for duplicated maturity
QL_REQUIRE(ts_->dates_[j-1] != ts_->instruments_[i]->latestDate(),
"two instruments have the same maturity (" <<
ts_->dates_[j-1] << ")");
ts_->dates_[j] = ts_->instruments_[i]->latestDate();
ts_->times_[j] = ts_->timeFromReference(ts_->dates_[j]);
++j;
}
// set initial guess only if the current curve cannot be used as guess
if (!validCurve_ || ts_->data_.size()!=alive+1) {
ts_->data_.resize(alive+1);
ts_->data_[0] = Traits::initialValue(ts_);
for (Size j=1; j<alive+1; ++j)
ts_->data_[j] = Traits::initialGuess();
}
}
template <class Curve>
void IterativeBootstrap<Curve>::calculate() const {
initialize();
Size n = ts_->instruments_.size();
Size alive = n-firstInstrument_;
// setup instruments
for (Size i=firstInstrument_; i<n; ++i) {
// check for valid quote
QL_REQUIRE(ts_->instruments_[i]->quote()->isValid(),
io::ordinal(i+1) << " instrument (maturity: " <<
ts_->instruments_[i]->latestDate() <<
") has an invalid quote");
// don't try this at home!
// This call creates instruments, and removes "const".
// There is a significant interaction with observability.
ts_->instruments_[i]->setTermStructure(const_cast<Curve*>(ts_));
}
Brent solver;
Size maxIterations = Traits::maxIterations();
for (Size iteration=0; ; ++iteration) {
std::vector<Rate> previousData = ts_->data_;
// restart from the previous interpolation
if (validCurve_) {
ts_->interpolation_ = ts_->interpolator_.interpolate(
ts_->times_.begin(),
ts_->times_.end(),
ts_->data_.begin());
}
for (Size i=1; i<alive+1; ++i) {
// calculate guess before extending interpolation
// to ensure that any extrapolation is performed
// using the curve bootstrapped so far and no more
boost::shared_ptr<typename Traits::helper> instrument =
ts_->instruments_[i-1+firstInstrument_];
Rate guess = 0.0;
if (validCurve_ || iteration>0) {
guess = ts_->data_[i];
} else if (i==1) {
guess = Traits::initialGuess();
} else {
// most traits extrapolate
guess = Traits::guess(ts_, ts_->dates_[i]);
}
// bracket
Real min = Traits::minValueAfter(i, ts_->data_);
Real max = Traits::maxValueAfter(i, ts_->data_);
if (guess<=min || guess>=max)
guess = (min+max)/2.0;
if (!validCurve_ && iteration == 0) {
// extend interpolation a point at a time
try {
ts_->interpolation_ = ts_->interpolator_.interpolate(
ts_->times_.begin(),
ts_->times_.begin()+i+1,
ts_->data_.begin());
} catch (...) {
if (!Interpolator::global)
throw; // no chance to fix it in a later iteration
// otherwise, if the target interpolation is
// not usable yet
ts_->interpolation_ = Linear().interpolate(
ts_->times_.begin(),
ts_->times_.begin()+i+1,
ts_->data_.begin());
}
}
// required because we just changed the data
// is it really required?
ts_->interpolation_.update();
try {
BootstrapError<Curve> error(ts_, instrument, i);
Real r = solver.solve(error,ts_->accuracy_,guess,min,max);
// redundant assignment (as it has been already performed
// by BootstrapError in solve procedure), but safe
ts_->data_[i] = r;
} catch (std::exception &e) {
validCurve_ = false;
QL_FAIL(io::ordinal(iteration+1) << " iteration: "
"failed at " << io::ordinal(i) <<
" alive instrument, maturity " <<
instrument->latestDate() << ", reference date " <<
ts_->dates_[0] << ": " << e.what());
}
}
if (!Interpolator::global)
break; // no need for convergence loop
else if (!validCurve_ && iteration == 0) {
// ensure the target interpolation is used
ts_->interpolation_ =
ts_->interpolator_.interpolate(ts_->times_.begin(),
ts_->times_.end(),
ts_->data_.begin());
// at least one more iteration is needed to check convergence
continue;
}
// exit conditions
Real improvement = 0.0;
for (Size i=1; i<alive+1; ++i)
improvement=std::max(improvement,
std::fabs(ts_->data_[i]-previousData[i]));
if (improvement<=ts_->accuracy_) // convergence reached
break;
QL_REQUIRE(iteration+1 < maxIterations,
"convergence not reached after " <<
iteration+1 << " iterations; last improvement " <<
improvement << ", required accuracy " <<
ts_->accuracy_);
}
validCurve_ = true;
}
}
#endif
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