/usr/include/ql/termstructures/iterativebootstrap.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2008, 2011, 2015 Ferdinando Ametrano
Copyright (C) 2007 Chris Kenyon
Copyright (C) 2007 StatPro Italia srl
Copyright (C) 2015 Paolo Mazzocchi
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file iterativebootstrap.hpp
\brief universal piecewise-term-structure boostrapper.
*/
#ifndef quantlib_iterative_bootstrap_hpp
#define quantlib_iterative_bootstrap_hpp
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/termstructures/bootstraperror.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/solvers1d/finitedifferencenewtonsafe.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
//! Universal piecewise-term-structure boostrapper.
template <class Curve>
class IterativeBootstrap {
typedef typename Curve::traits_type Traits;
typedef typename Curve::interpolator_type Interpolator;
public:
IterativeBootstrap();
void setup(Curve* ts);
void calculate() const;
private:
void initialize() const;
Curve* ts_;
Size n_;
Brent firstSolver_;
FiniteDifferenceNewtonSafe solver_;
mutable bool initialized_, validCurve_, loopRequired_;
mutable Size firstAliveHelper_, alive_;
mutable std::vector<Real> previousData_;
mutable std::vector<boost::shared_ptr<BootstrapError<Curve> > > errors_;
};
// template definitions
template <class Curve>
IterativeBootstrap<Curve>::IterativeBootstrap()
: ts_(0), initialized_(false), validCurve_(false),
loopRequired_(Interpolator::global) {}
template <class Curve>
void IterativeBootstrap<Curve>::setup(Curve* ts) {
ts_ = ts;
n_ = ts_->instruments_.size();
QL_REQUIRE(n_ > 0, "no bootstrap helpers given")
for (Size j=0; j<n_; ++j)
ts_->registerWith(ts_->instruments_[j]);
// do not initialize yet: instruments could be invalid here
// but valid later when bootstrapping is actually required
}
template <class Curve>
void IterativeBootstrap<Curve>::initialize() const {
// ensure helpers are sorted
std::sort(ts_->instruments_.begin(), ts_->instruments_.end(),
detail::BootstrapHelperSorter());
// skip expired helpers
Date firstDate = Traits::initialDate(ts_);
QL_REQUIRE(ts_->instruments_[n_-1]->pillarDate()>firstDate,
"all instruments expired");
firstAliveHelper_ = 0;
while (ts_->instruments_[firstAliveHelper_]->pillarDate() <= firstDate)
++firstAliveHelper_;
alive_ = n_-firstAliveHelper_;
QL_REQUIRE(alive_>=Interpolator::requiredPoints-1,
"not enough alive instruments: " << alive_ <<
" provided, " << Interpolator::requiredPoints-1 <<
" required");
// calculate dates and times, create errors_
std::vector<Date>& dates = ts_->dates_;
std::vector<Time>& times = ts_->times_;
dates.resize(alive_+1);
times.resize(alive_+1);
errors_.resize(alive_+1);
dates[0] = firstDate;
times[0] = ts_->timeFromReference(dates[0]);
Date latestRelevantDate, maxDate = firstDate;
// pillar counter: i
// helper counter: j
for (Size i=1, j=firstAliveHelper_; j<n_; ++i, ++j) {
const boost::shared_ptr<typename Traits::helper>& helper =
ts_->instruments_[j];
dates[i] = helper->pillarDate();
times[i] = ts_->timeFromReference(dates[i]);
// check for duplicated pillars
QL_REQUIRE(dates[i-1]!=dates[i],
"more than one instrument with pillar " << dates[i]);
latestRelevantDate = helper->latestRelevantDate();
// check that the helper is really extending the curve, i.e. that
// pillar-sorted helpers are also sorted by latestRelevantDate
QL_REQUIRE(latestRelevantDate > maxDate,
io::ordinal(j+1) << " instrument (pillar: " <<
dates[i] << ") has latestRelevantDate (" <<
latestRelevantDate << ") before or equal to "
"previous instrument's latestRelevantDate (" <<
maxDate << ")");
maxDate = latestRelevantDate;
// when a pillar date is different from the last relevant date the
// convergence loop is required even if the Interpolator is local
if (dates[i] != latestRelevantDate)
loopRequired_ = true;
errors_[i] = boost::shared_ptr<BootstrapError<Curve> >(new
BootstrapError<Curve>(ts_, helper, i));
}
ts_->maxDate_ = maxDate;
// set initial guess only if the current curve cannot be used as guess
if (!validCurve_ || ts_->data_.size()!=alive_+1) {
// ts_->data_[0] is the only relevant item,
// but reasonable numbers might be needed for the whole data vector
// because, e.g., of interpolation's early checks
ts_->data_ = std::vector<Real>(alive_+1, Traits::initialValue(ts_));
previousData_.resize(alive_+1);
}
initialized_ = true;
}
template <class Curve>
void IterativeBootstrap<Curve>::calculate() const {
// we might have to call initialize even if the curve is initialized
// and not moving, just because helpers might be date relative and change
// with evaluation date change.
// anyway it makes little sense to use date relative helpers with a
// non-moving curve if the evaluation date changes
if (!initialized_ || ts_->moving_)
initialize();
// setup helpers
for (Size j=firstAliveHelper_; j<n_; ++j) {
const boost::shared_ptr<typename Traits::helper>& helper =
ts_->instruments_[j];
// check for valid quote
QL_REQUIRE(helper->quote()->isValid(),
io::ordinal(j + 1) << " instrument (maturity: " <<
helper->maturityDate() << ", pillar: " <<
helper->pillarDate() << ") has an invalid quote");
// don't try this at home!
// This call creates helpers, and removes "const".
// There is a significant interaction with observability.
helper->setTermStructure(const_cast<Curve*>(ts_));
}
const std::vector<Time>& times = ts_->times_;
const std::vector<Real>& data = ts_->data_;
Real accuracy = ts_->accuracy_;
Size maxIterations = Traits::maxIterations()-1;
// there might be a valid curve state to use as guess
bool validData = validCurve_;
for (Size iteration=0; ; ++iteration) {
previousData_ = ts_->data_;
for (Size i=1; i<=alive_; ++i) { // pillar loop
// bracket root and calculate guess
Real min = Traits::minValueAfter(i, ts_, validData,
firstAliveHelper_);
Real max = Traits::maxValueAfter(i, ts_, validData,
firstAliveHelper_);
Real guess = Traits::guess(i, ts_, validData,
firstAliveHelper_);
// adjust guess if needed
if (guess>=max)
guess = max - (max-min)/5.0;
else if (guess<=min)
guess = min + (max-min)/5.0;
// extend interpolation if needed
if (!validData) {
try { // extend interpolation a point at a time
// including the pillar to be boostrapped
ts_->interpolation_ = ts_->interpolator_.interpolate(
times.begin(), times.begin()+i+1, data.begin());
} catch (...) {
if (!Interpolator::global)
throw; // no chance to fix it in a later iteration
// otherwise use Linear while the target
// interpolation is not usable yet
ts_->interpolation_ = Linear().interpolate(
times.begin(), times.begin()+i+1, data.begin());
}
ts_->interpolation_.update();
}
try {
if (validData)
solver_.solve(*errors_[i], accuracy, guess, min, max);
else
firstSolver_.solve(*errors_[i], accuracy,guess,min,max);
} catch (std::exception &e) {
// the previous curve state could have been a bad guess
// let's restart without using it
if (validCurve_) {
validCurve_ = validData = false;
continue;
}
QL_FAIL(io::ordinal(iteration+1) << " iteration: failed "
"at " << io::ordinal(i) << " alive instrument, "
"pillar " << errors_[i]->helper()->pillarDate() <<
", maturity " << errors_[i]->helper()->maturityDate() <<
", reference date " << ts_->dates_[0] <<
": " << e.what());
}
}
if (!loopRequired_)
break;
// exit condition
Real change = std::fabs(data[1]-previousData_[1]);
for (Size i=2; i<=alive_; ++i)
change = std::max(change, std::fabs(data[i]-previousData_[i]));
if (change<=accuracy) // convergence reached
break;
QL_REQUIRE(iteration<maxIterations,
"convergence not reached after " << iteration <<
" iterations; last improvement " << change <<
", required accuracy " << accuracy);
validData = true;
}
validCurve_ = true;
}
}
#endif
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