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QuantLib_LocalBootstrap
Langue: en
Version: 379936 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::LocalBootstrap -Localised-term-structure bootstrapper for most curve types.
SYNOPSIS
#include <ql/termstructures/localbootstrap.hpp>
Public Member Functions
LocalBootstrap (Size localisation=2, bool forcePositive=true)
void setup (Curve *ts)
void calculate () const
Detailed Description
template<class Curve> class QuantLib::LocalBootstrap< Curve >
Localised-term-structure bootstrapper for most curve types.This algorithm enables a localised fitting for non-local interpolation methods.
As in the similar class (IterativeBootstrap) the input term structure is solved on a number of market instruments which are passed as a vector of handles to BootstrapHelper instances. Their maturities mark the boundaries of the interpolated segments.
Unlike the IterativeBootstrap class, the solution for each interpolated segment is derived using a local approximation. This restricts the risk profile s.t. the risk is localised. Therefore, we obtain a local IR risk profile whilst using a smoother interpolation method. Particularly good for the convex-monotone spline method.
Author
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