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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_iterative_bootstrap.html">IterativeBootstrap</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">IterativeBootstrap< Curve > Class Template Reference</div> </div>
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<p>Universal piecewise-term-structure boostrapper.
<a href="class_quant_lib_1_1_iterative_bootstrap.html#details">More...</a></p>
<p><code>#include <ql/termstructures/iterativebootstrap.hpp></code></p>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:ae2b21fd29906a07e556abe25172acaf0"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_iterative_bootstrap.html#ae2b21fd29906a07e556abe25172acaf0">IterativeBootstrap</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> minValue=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> maxValue=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> maxAttempts=1, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> maxFactor=2.0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> minFactor=2.0, bool dontThrow=false, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> dontThrowSteps=10)</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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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class Curve><br />
class QuantLib::IterativeBootstrap< Curve ></h3>
<p>Universal piecewise-term-structure boostrapper. </p>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_multicurve_bootstrapping_8cpp-example.html#_a27">MulticurveBootstrapping.cpp</a>.</dd>
</dl>
</div><h2 class="groupheader">Constructor & Destructor Documentation</h2>
<a id="ae2b21fd29906a07e556abe25172acaf0"></a>
<h2 class="memtitle"><span class="permalink"><a href="#ae2b21fd29906a07e556abe25172acaf0">◆ </a></span>IterativeBootstrap()</h2>
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<td class="memname"><a class="el" href="class_quant_lib_1_1_iterative_bootstrap.html">IterativeBootstrap</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>accuracy</em> = <code><a class="el" href="class_quant_lib_1_1_null.html">Null</a><<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>>()</code>, </td>
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<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>minValue</em> = <code><a class="el" href="class_quant_lib_1_1_null.html">Null</a><<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>>()</code>, </td>
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<td class="paramkey"></td>
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<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>maxValue</em> = <code><a class="el" href="class_quant_lib_1_1_null.html">Null</a><<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>>()</code>, </td>
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<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>maxAttempts</em> = <code>1</code>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>maxFactor</em> = <code>2.0</code>, </td>
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<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>minFactor</em> = <code>2.0</code>, </td>
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<td class="paramtype">bool </td>
<td class="paramname"><em>dontThrow</em> = <code>false</code>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>dontThrowSteps</em> = <code>10</code> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td>
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<p>Constructor </p><dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">accuracy</td><td>Accuracy for the bootstrap stopping criterion. If it is set to <code>Null<Real>()</code>, its value is taken from the termstructure's accuracy. </td></tr>
<tr><td class="paramname">minValue</td><td>Allow to override the initial minimum value coming from traits. </td></tr>
<tr><td class="paramname">maxValue</td><td>Allow to override the initial maximum value coming from traits. </td></tr>
<tr><td class="paramname">maxAttempts</td><td>Number of attempts on each iteration. A number greater than 1 implies retries. </td></tr>
<tr><td class="paramname">maxFactor</td><td>Factor for max value retry on each iteration if there is a failure. </td></tr>
<tr><td class="paramname">minFactor</td><td>Factor for min value retry on each iteration if there is a failure. </td></tr>
<tr><td class="paramname">dontThrow</td><td>If set to <code>true</code>, the bootstrap doesn't throw and returns a <em>fall back</em> result. </td></tr>
<tr><td class="paramname">dontThrowSteps</td><td>If <code>dontThrow</code> is <code>true</code>, this gives the number of steps to use when searching for a fallback curve pillar value that gives the minimum bootstrap helper error. </td></tr>
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