QuantLib_LocalBootstrap man page

LocalBootstrap< Curve > — Localised-term-structure bootstrapper for most curve types.


#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.


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Referenced By

LocalBootstrap(3) is an alias of QuantLib_LocalBootstrap(3).

QuantLib Version 1.8.1 Fri Sep 23 2016