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<title>LocalBootstrap< Curve > Class Template Reference</title>
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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<h3 class="navbartitle">Version 1.2</h3>
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<li class="navelem"><b>QuantLib</b> </li>
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<div class="title">LocalBootstrap< Curve > Class Template Reference</div> </div>
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<p>Localised-term-structure bootstrapper for most curve types.
<a href="class_quant_lib_1_1_local_bootstrap.html#details">More...</a></p>
<p><code>#include <ql/termstructures/localbootstrap.hpp></code></p>
<p><a href="class_quant_lib_1_1_local_bootstrap-members.html">List of all members.</a></p>
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Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af581ddd45305ac7377fbe85856952886"></a><!-- doxytag: member="QuantLib::LocalBootstrap::LocalBootstrap" ref="af581ddd45305ac7377fbe85856952886" args="(Size localisation=2, bool forcePositive=true)" -->
 </td><td class="memItemRight" valign="bottom"><b>LocalBootstrap</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> localisation=2, bool forcePositive=true)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>setup</b> (<a class="el" href="class_quant_lib_1_1_curve.html">Curve</a> *ts)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><h3>template<class Curve><br/>
class QuantLib::LocalBootstrap< Curve ></h3>
<p>Localised-term-structure bootstrapper for most curve types. </p>
<p>This algorithm enables a localised fitting for non-local interpolation methods.</p>
<p>As in the similar class (<a class="el" href="class_quant_lib_1_1_iterative_bootstrap.html" title="Universal piecewise-term-structure boostrapper.">IterativeBootstrap</a>) the input term structure is solved on a number of market instruments which are passed as a vector of handles to <a class="el" href="class_quant_lib_1_1_bootstrap_helper.html" title="Base helper class for bootstrapping.">BootstrapHelper</a> instances. Their maturities mark the boundaries of the interpolated segments.</p>
<p>Unlike the <a class="el" href="class_quant_lib_1_1_iterative_bootstrap.html" title="Universal piecewise-term-structure boostrapper.">IterativeBootstrap</a> class, the solution for each interpolated segment is derived using a local approximation. This restricts the risk profile s.t. the risk is localised. Therefore, we obtain a local IR risk profile whilst using a smoother interpolation method. Particularly good for the convex-monotone spline method. </p>
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