IterativeBootstrap< Curve > Class Template Reference

#include <qle/termstructures/iterativebootstrap.hpp>

Public Member Functions
	IterativeBootstrap (QuantLib::Real accuracy=QuantLib::Null< QuantLib::Real >(), QuantLib::Real globalAccuracy=QuantLib::Null< QuantLib::Real >(), bool dontThrow=false, QuantLib::Size maxAttempts=1, QuantLib::Real maxFactor=2.0, QuantLib::Real minFactor=2.0, QuantLib::Size dontThrowSteps=10)
void	setup (Curve *ts)
void	calculate () const

Detailed Description

template<class Curve>
class QuantExt::IterativeBootstrap< Curve >

Straight copy of QuantLib::IterativeBootstrap with the following modifications

• addition of a globalAccuracy parameter to allow the global bootstrap accuracy to be different than the accuracy specified in the Curve. In particular, allows for the globalAccuracy to be greater than the accuracy specified in the Curve which is useful in some situations e.g. cubic spline and optionlet stripping. If the globalAccuracy is set less than the accuracy in the Curve, the accuracy in the Curve is used instead.

Constructor & Destructor Documentation

IterativeBootstrap()

IterativeBootstrap	(	QuantLib::Real	accuracy = QuantLib::Null<QuantLib::Real>(),
		QuantLib::Real	globalAccuracy = QuantLib::Null<QuantLib::Real>(),
		bool	dontThrow = false,
		QuantLib::Size	maxAttempts = 1,
		QuantLib::Real	maxFactor = 2.0,
		QuantLib::Real	minFactor = 2.0,
		QuantLib::Size	dontThrowSteps = 10
	)

Constructor

Parameters

accuracy	Accuracy for the bootstrap. If Null<Real>(), its value is taken from the termstructure's accuracy.
globalAccuracy	Accuracy for the global bootstrap stopping criterion. If it is set to Null<Real>(), its value is taken from the termstructure's accuracy.
dontThrow	If set to true, the bootstrap doesn't throw and returns a fall back result
maxAttempts	Number of attempts on each iteration. A number greater than implies retries.
maxFactor	Factor for max value retry on each iteration if there is a failure.
minFactor	Factor for min value retry on each iteration if there is a failure.
dontThrowSteps	If dontThrow is true, this gives the number of steps to use when searching for a fallback curve pillar value that gives the minimum bootstrap helper error.