QuantLib_LocalBootstrap (3) - Linux Manuals

QuantLib_LocalBootstrap: Localised-term-structure bootstrapper for most curve types.

Command to display QuantLib_LocalBootstrap manual in Linux: $ man 3 QuantLib_LocalBootstrap

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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