QuantLib_LocalBootstrap man page
LocalBootstrap< Curve > — Localised-term-structure bootstrapper for most curve types.
Public Member Functions
LocalBootstrap (Size localisation=2, bool forcePositive=true)
void setup (Curve *ts)
void calculate () const
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.
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The man page LocalBootstrap(3) is an alias of QuantLib_LocalBootstrap(3).