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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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
<https://www.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 bootstraperror.hpp
\brief boostrap error.
*/
#ifndef quantlib_bootstrap_error_hpp
#define quantlib_bootstrap_error_hpp
#include <ql/shared_ptr.hpp>
#include <ql/types.hpp>
#include <utility>
namespace QuantLib {
/*! \deprecated Use a lambda instead (see e.g. the IterativeBootstrap class).
Deprecated in version 1.40.
*/
template <class Curve>
class [[deprecated("Use a lambda instead (see e.g. the IterativeBootstrap class)")]] BootstrapError {
typedef typename Curve::traits_type Traits;
public:
BootstrapError(const Curve* curve,
ext::shared_ptr<typename Traits::helper> instrument,
Size segment);
Real operator()(Rate guess) const;
const ext::shared_ptr<typename Traits::helper>& helper() {
return helper_;
}
private:
const Curve* curve_;
const ext::shared_ptr<typename Traits::helper> helper_;
const Size segment_;
};
// template definitions
QL_DEPRECATED_DISABLE_WARNING
template <class Curve>
BootstrapError<Curve>::BootstrapError(const Curve* curve,
ext::shared_ptr<typename Traits::helper> helper,
Size segment)
: curve_(curve), helper_(std::move(helper)), segment_(segment) {}
#ifndef __DOXYGEN__
template <class Curve>
Real BootstrapError<Curve>::operator()(Real guess) const {
Traits::updateGuess(curve_->data_, guess, segment_);
curve_->interpolation_.update();
return helper_->quoteError();
}
#endif
QL_DEPRECATED_ENABLE_WARNING
}
#endif
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