Straight copy of ql/termstructures/iterativebootstrap.hpp with minor changes. More...
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/math/solvers1d/finitedifferencenewtonsafe.hpp>
#include <ql/termstructures/bootstraperror.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/utilities/dataformatters.hpp>
Classes | |
class | IterativeBootstrap< Curve > |
Functions | |
template<class Curve > | |
QuantLib::Real | dontThrowFallback (const QuantLib::BootstrapError< Curve > &error, QuantLib::Real xMin, QuantLib::Real xMax, QuantLib::Size steps) |
Straight copy of ql/termstructures/iterativebootstrap.hpp with minor changes.
QuantLib::Real QuantExt::detail::dontThrowFallback | ( | const QuantLib::BootstrapError< Curve > & | error, |
QuantLib::Real | xMin, | ||
QuantLib::Real | xMax, | ||
QuantLib::Size | steps | ||
) |
If dontThrow
is true
in QuantExt::IterativeBootstrap and on a given pillar the bootstrap fails when searching for a helper root between xMin
and xMax
, we use this function to return the value that gives the minimum absolute helper error in the interval between xMin
and xMax
inclusive.