org.jquantlib.termstructures

Class LocalBootstrap<Curve extends PiecewiseYieldCurve>

java.lang.Object

org.jquantlib.termstructures.LocalBootstrap<Curve>

public class LocalBootstrap<Curve extends PiecewiseYieldCurve>
extends java.lang.Object

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.

Constructor Summary

Constructors

Constructor and Description
LocalBootstrap()
LocalBootstrap(int localisation)
LocalBootstrap(int localisation, boolean forcePositive)

Method Summary

Modifier and Type	Method and Description
void	calculate()
void	setup(Curve ts)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

LocalBootstrap

public LocalBootstrap()

LocalBootstrap

public LocalBootstrap(int localisation)

LocalBootstrap

public LocalBootstrap(int localisation,
                      boolean forcePositive)

Method Detail

setup

public void setup(Curve ts)

calculate

public void calculate()