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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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 bootstrapper.hpp
\brief universal piecewise-term-structure boostrapper.
*/
#ifndef quantlib_bootstrapper_hpp
#define quantlib_bootstrapper_hpp
#include <ql/termstructures/bootstraphelper.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 Traits, class Interpolator>
class IterativeBootstrap {
public:
IterativeBootstrap();
void setup(Curve* ts);
void calculate() const;
private:
Curve* ts_;
};
template <class Curve, class Traits, class Interpolator>
class BootstrapError {
public:
BootstrapError(
const Curve* curve,
const boost::shared_ptr<typename Traits::helper>& instrument,
Size segment);
Real operator()(Rate guess) const;
private:
const Curve* curve_;
const boost::shared_ptr<typename Traits::helper> helper_;
const Size segment_;
};
template <class Curve, class Traits, class Interpolator>
IterativeBootstrap<Curve, Traits, Interpolator>::IterativeBootstrap()
: ts_(0) {}
template <class Curve, class Traits, class Interpolator>
void IterativeBootstrap<Curve, Traits, Interpolator>::setup(Curve* ts) {
ts_ = ts;
Size n = ts_->instruments_.size();
QL_REQUIRE(n+1 > Interpolator::requiredPoints,
"not enough instruments given: " << n);
for (Size i=0; i<n; ++i){
ts_->registerWith(ts_->instruments_[i]);
}
}
template <class Curve, class Traits, class Interpolator>
void IterativeBootstrap<Curve, Traits, Interpolator>::calculate() const {
Size n = ts_->instruments_.size();
// sort rate helpers
std::sort(ts_->instruments_.begin(),ts_->instruments_.end(),
detail::BootstrapHelperSorter());
// check that there is no instruments with the same maturity
for (Size i=1; i<n; ++i) {
Date m1 = ts_->instruments_[i-1]->latestDate(),
m2 = ts_->instruments_[i]->latestDate();
QL_REQUIRE(m1 != m2,
"two instruments have the same maturity ("<< m1 <<")");
}
// check that there is no instruments with invalid quote
for (Size i=0; i<n; ++i)
QL_REQUIRE(ts_->instruments_[i]->quoteIsValid(),
"instrument with invalid quote");
// setup instruments
for (Size i=0; i<n; ++i) {
// 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_));
}
ts_->dates_ = std::vector<Date>(n+1);
ts_->times_ = std::vector<Time>(n+1);
ts_->data_ = std::vector<Rate>(n+1);
ts_->dates_[0] = Traits::initialDate(ts_);
ts_->times_[0] = ts_->timeFromReference(ts_->dates_[0]);
ts_->data_[0] = Traits::initialValue(ts_);
for (Size i=0; i<n; ++i) {
ts_->dates_[i+1] = ts_->instruments_[i]->latestDate();
ts_->times_[i+1] = ts_->timeFromReference(ts_->dates_[i+1]);
ts_->data_[i+1] = Traits::initialGuess();
}
Brent solver;
Size maxIterations = Traits::maxIterations();
for (Size iteration = 0; ; ++iteration) {
std::vector<Rate> previousData = ts_->data_;
for (Size i=1; i<n+1; ++i) {
if (iteration == 0) {
// extend interpolation a point at a time
if (Interpolator::global) {
// use Linear in the first iteration
ts_->interpolation_ = Linear().interpolate(
ts_->times_.begin(),
ts_->times_.begin()+i+1,
ts_->data_.begin());
} else {
ts_->interpolation_ = ts_->interpolator_.interpolate(
ts_->times_.begin(),
ts_->times_.begin()+i+1,
ts_->data_.begin());
}
}
// required because we just changed the data
ts_->interpolation_.update();
boost::shared_ptr<typename Traits::helper> instrument =
ts_->instruments_[i-1];
Rate guess;
if (iteration > 0) {
// use perturbed value from previous loop
guess = 0.99 * 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;
try {
BootstrapError<Curve,Traits,Interpolator> error(
ts_, instrument, i);
ts_->data_[i] =
solver.solve(error, ts_->accuracy_, guess, min, max);
if (i==1 && Traits::dummyInitialValue())
ts_->data_[0] = ts_->data_[1];
} catch (std::exception &e) {
QL_FAIL(io::ordinal(iteration+1) << " iteration: "
"could not bootstrap the " << io::ordinal(i) <<
" instrument, maturity " << ts_->dates_[i] <<
": " << e.what());
}
}
if (!Interpolator::global) {
break; // no need for convergence loop
} else if (iteration == 0) {
// at least one more iteration is needed
// since the first one used Linear interpolation
ts_->interpolation_ = ts_->interpolator_.interpolate(
ts_->times_.begin(),
ts_->times_.end(),
ts_->data_.begin());
continue;
}
// exit conditions
Real improvement = 0.0;
for (Size i=1; i<n+1; ++i)
improvement += std::fabs(ts_->data_[i]-previousData[i]);
improvement /= n;
if (improvement <= ts_->accuracy_) // convergence reached
break;
if (iteration+1 >= maxIterations)
QL_FAIL("convergence not reached after "
<< iteration+1 << " iterations");
}
}
template <class Curve, class Traits, class Interpolator>
BootstrapError<Curve, Traits, Interpolator>::BootstrapError(
const Curve* curve,
const boost::shared_ptr<typename Traits::helper>& helper,
Size segment)
: curve_(curve), helper_(helper), segment_(segment) {}
#ifndef __DOXYGEN__
template <class Curve, class Traits, class Interpolator>
Real BootstrapError<Curve, Traits, Interpolator>::operator()(Real guess)
const {
Traits::updateGuess(curve_->data_, guess, segment_);
curve_->interpolation_.update();
return helper_->quoteError();
}
#endif
}
#endif
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