Universal piecewise-term-structure boostrapper. More...
#include <ql/termstructures/iterativebootstrap.hpp>
Public Member Functions | |
| IterativeBootstrap (Real accuracy=Null< Real >(), Real minValue=Null< Real >(), Real maxValue=Null< Real >(), Size maxAttempts=1, Real maxFactor=2.0, Real minFactor=2.0, bool dontThrow=false, Size dontThrowSteps=10) | |
| void | setup (Curve *ts) |
| void | calculate () const |
Universal piecewise-term-structure boostrapper.
| IterativeBootstrap | ( | Real | accuracy = Null<Real>(), |
| Real | minValue = Null<Real>(), |
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| Real | maxValue = Null<Real>(), |
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| Size | maxAttempts = 1, |
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| Real | maxFactor = 2.0, |
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| Real | minFactor = 2.0, |
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| bool | dontThrow = false, |
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| Size | dontThrowSteps = 10 |
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| ) |
Constructor
| accuracy | Accuracy for the bootstrap stopping criterion. If it is set to Null<Real>(), its value is taken from the termstructure's accuracy. |
| minValue | Allow to override the initial minimum value coming from traits. |
| maxValue | Allow to override the initial maximum value coming from traits. |
| maxAttempts | Number of attempts on each iteration. A number greater than 1 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. |
| dontThrow | If set to true, the bootstrap doesn't throw and returns a fall back result. |
| 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. |