iterativebootstrap.hpp File Reference

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)

Detailed Description

Straight copy of ql/termstructures/iterativebootstrap.hpp with minor changes.

Function Documentation

dontThrowFallback()

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.