Re: [Quantlib-users] ConvexMonotone Interpolator compatible with PiecewiseYieldCurve?

[StephenWong <ste...@gm...>]

Thanks Simon!

The example in test-suite/piecewiseyieldcurve.cpp has both 
PiecewiseYieldCurve<ForwardRate, ConvexMonotone, LocalBootstrap>(.....)
and
PiecewiseYieldCurve<ForwardRate, ConvexMonotone, IterativeBootstrap>(.....).

So it seems the only restriction is to use ForwardRate as the Traits?

I will have to give this a try. Thanks again!



Simon Ibbotson-2 wrote:
> 
> Hi Stephen,
> 
> There's an example in the test files
> (test-suite/piecewiseyieldcurve.cpp) which is a bit convoluted to
> interpret.
> It's been a while since I wrote it but - if I remember correctly - you
> need to specify a different bootstrap class:
> 
> new  PiecewiseYieldCurve<ForwardRate, ConvexMonotone,
> LocalBootstrap>(.....)
> 
> The LocalBootstrap is designed to make the convex monotone interpolation
> method local to the neighbouring yieldcurve points (so risk is not
> spread down the curve and calibration is stable).
> 
> Note that ConvexMonotone is designed to work solely with the
> ForwardRate.
> 
> You can also pass in the exact version of the ConvexMonotone that you
> want in the "interpolator" parameter for the PiecewiseYieldCurve class
> constructor.
> 
> The are three parameters for the ConvexMonotone interpolator class:
> 
> 1) quadraticity; the higher this number is (minimum of 0.0, maximum of
> 1.0), the more quadratic (smooth) the forward rate is
> 2) monotonicity; the higher this number is (minimum of 0.0, maximum of
> 1.0), the more monotonicity is enforced (if quadraticity is a low value)
> - this can lead to sharp gradients in the forward rate.
> 3) forcePositive; boolean, if TRUE it prevents negative forward rates;
> this can mean calibration is impossible.
> 
> Try graphing the forward rates and adjust the parameters to suit your
> needs.
> 
> If you have any problems, let me know.
> 
> Simon
> 
> 
> -----Original Message-----
> From: StephenWong [mailto:ste...@gm...] 
> Sent: 13 January 2012 01:26
> To: qua...@li...
> Subject: [Quantlib-users] ConvexMonotone Interpolator compatible with
> PiecewiseYieldCurve?
> 
> 
> Hi all,
> 
> Does anyone know if the class PiecewiseYieldCurve can be used with the
> ConvexMonotone Interpolator or not?
> 
> I seem to be able to only use the Linear, LogLinear or Cubic
> Interpolator with PiecewiseYieldCurve but not ConvexMonotone. If I use
> the latter exactly like how I use the formers with the
> PiecewiseYieldCurve in pricing something, say some bonds, I run into
> problems.
> 
> Anyone is able to use it successfully?
> 
> Thanks!
> 
> 
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> iseYieldCurve--tp33131655p33131655.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
> 
> 
> ------------------------------------------------------------------------
> 
> 

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