IterativeBootstrap< Curve > Class Template Reference

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

#include <ql/termstructures/iterativebootstrap.hpp>

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)
void	setup (Curve *ts)
void	calculate () const

Detailed Description

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

Universal piecewise-term-structure boostrapper.

Examples

MulticurveBootstrapping.cpp.

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
	)

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.