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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
#include <ql/termstructures/globalbootstrapvars.hpp>
#include <ql/utilities/null.hpp>
#include <ql/utilities/vectors.hpp>
#include <utility>
namespace QuantLib {
SimpleQuoteVariables::SimpleQuoteVariables(std::vector<ext::shared_ptr<SimpleQuote>> quotes,
std::vector<Real> initialGuesses,
std::vector<Real> lowerBounds)
: quotes_(std::move(quotes)), initialGuesses_(std::move(initialGuesses)),
lowerBounds_(std::move(lowerBounds)) {
QL_REQUIRE(initialGuesses_.size() <= quotes_.size(), "too many initialGuesses");
QL_REQUIRE(lowerBounds_.size() <= quotes_.size(), "too many lowerBounds");
}
Array SimpleQuoteVariables::initialize(bool validData) {
Array guesses(quotes_.size());
for (Size i = 0, size = guesses.size(); i < size; ++i) {
Real guess;
if (validData) {
guess = quotes_[i]->value();
} else {
guess = detail::get(initialGuesses_, i, 0.0);
quotes_[i]->setValue(guess);
}
guesses[i] = transformInverse(guess, i);
}
return guesses;
}
void SimpleQuoteVariables::update(const Array& x) {
for (Size i = 0, size = x.size(); i < size; ++i) {
quotes_[i]->setValue(transformDirect(x[i], i));
}
}
Real SimpleQuoteVariables::transformDirect(Real x, Size i) const {
const Real lb = detail::get(lowerBounds_, i, Null<Real>());
return lb == Null<Real>() ? x : std::exp(x) + lb;
}
Real SimpleQuoteVariables::transformInverse(Real x, Size i) const {
const Real lb = detail::get(lowerBounds_, i, Null<Real>());
return lb == Null<Real>() ? x : std::log(x - lb);
}
}
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