Re: [Quantlib-users] Specifying bootstrap parameters

[Luigi B. <lui...@gm...>]

There are a couple of examples in the test suite; see e.g. <
https://github.com/lballabio/QuantLib/blob/v1.31.1/test-suite/piecewiseyieldcurve.cpp#L1218
>.

I honestly don't know why the compiler sees the curve as an incomplete type
if you don't instantiate it first; some C++ lawyers might help.  However,
you can work around this in the same way that the example does.  Once you
have a typedef for your curve, such as `this_curve` in your code,
`this_curve::bootstrap_type` gives you a way to create the bootstrap object
and pass it to the constructor at the same time.

Hope this helps,
    Luigi


On Tue, Oct 17, 2023 at 2:19 PM <fre...@sw...> wrote:

> If I understand correctly, accuracy parameter moved some time ago from
> initialization of curve to bootstrap. However, I am struggling a bit how to
> specify it since the curve depends on bootstrap, which depends on curve…
>
>
>
> Here is a minimal example:
>
> void test()
>
> {
>
>     auto eonia = ext::make_shared<Eonia>();
>
>     auto referenceDate = Date(17, Oct, 2023);
>
>     auto tenor = 1 * Months;
>
>     auto simple_quote = ext::make_shared<SimpleQuote>(0.01);
>
>     auto quote = Handle<Quote>(simple_quote);
>
>     auto instrument = ext::make_shared<OISRateHelper>(2, tenor, quote,
> eonia);
>
>     std::vector<ext::shared_ptr<RateHelper>> instruments = { instrument };
>
>
>
>     typedef PiecewiseYieldCurve<Discount, Cubic, IterativeBootstrap>
> this_curve;
>
>
>
>     // Here I initilize the PiecewiseYieldCurve without specifying
> bootstrap. This works
>
>     //auto termstructure1 = this_curve(referenceDate, instruments,
> Actual365Fixed());
>
>
>
>
>
>     // First we make a bootstrap object with a PieceWiseYieldCurve as
> template parameter
>
>     // We pass the IterativeBootstrap object to the PieceWiseYieldCurce
> constructor
>
>     Real accuracy = 0.0001;
>
>     auto myIterativeBootstrap = IterativeBootstrap<this_curve>(accuracy);
>
>     auto termstructure3 = this_curve(referenceDate, instruments,
> Actual365Fixed(), myIterativeBootstrap);
>
>
>
>     return;
>
> }
>
>
>
> However, this does not work but give me an error (at least using Clang on
> Visual Studio).
>
>
>
> field has incomplete type
> 'IterativeBootstrap<QuantLib::PiecewiseYieldCurve<QuantLib::Discount,
> QuantLib::Cubic, QuantLib::IterativeBootstrap>::this_curve>' (aka
> 'IterativeBootstrap<PiecewiseYieldCurve<QuantLib::Discount,
> QuantLib::Cubic, QuantLib::IterativeBootstrap>>')
>
>
>
> Oddly enough, If I uncomment the definition of termstructure1, it compiles.
>
>
>
> I can make an even more minimal example:
>
> // minimal example for clang/gcc incomplete class error:
>
> void test2()
>
> {
>
>     Real accuracy = 0.0001;
>
>     auto bootstrap_ex = IterativeBootstrap<PiecewiseYieldCurve<Discount,
> LogLinear>>(accuracy);
>
> }
>
>
>
> I strongly suspect I have misunderstood something here. How are you
> supposed to set the accuracy parameter for a curve?
>
>
>
> BR
>
> //Fredrik
>
>
>
>
>
>
>
>
>
>
>
> *From:* Marcin Rybacki <mry...@gm...>
> *Sent:* den 7 september 2023 17:56
> *To:* Jonathan George <Jon...@ni...>
> *Cc:* qua...@li...
> *Subject:* Re: [Quantlib-users] Bootstrapped Yield Curve extrapolation
> help
>
>
>
> *External email. *Do not click on links or attachments unless you
> recognize the sender.
>
> Hi Jonathan,
>
>
>
> I think that, at the moment, the library only offers flat forward
> extrapolation.
>
> However, you could use the following workaround:
>
>
>
> 1) Build the curve, based on the original input rates, using linear
> log-discount interpolation without enabling the extrapolation
>
> 2) Retrieve the nodes of the curve, which I assume will be (in Python) a
> list of tuples with dates and discount factors
>
> 2) From this curve calculate a zero rate for the last node: last_zero_rate
> = crv.zeroRate(crv.maxTime(), ql.Continuous).rate()
> 3) Calculate a discount factor for the very last QuantLib date: max_dt =
> ql.Date.maxDate() By taking the exponent of the year fraction from the
> reference date to max date, times last zero rate and times -1. And append
> the nodes with this last tuple (date and discount factor)
>
> 4) Reconstruct the curve using ql.DiscountCurve(dates, discounts,
> day_counter) and enable extrapolation.
>
>
>
> I think this should give the outcome you're looking for.
>
>
>
> Please note that the above approach will only work for linear schemes.
> Applying it with e.g. cubic splines will lead to a different solution of
> the tridiagonal system, and the resulting curves will be slightly different.
>
> Another downside is that bumping quote handles to obtain sensitivities
> will yield incorrect outcomes in the extrapolation region - so instead you
> would have to rebuild the curve to get the deltas.
>
>
>
> Hope this helps.
>
>
>
> Kind regards,
>
> Marcin
>
>
>
> On Thu, 24 Aug 2023 at 15:32, Jonathan George <
> Jon...@ni...> wrote:
>
> Hi All,
>
>
>
> I am hoping that I might be able to get some help from this forum.
>
>
>
> Context:
>
> I am trying to bootstrap a yield curve using piecewise flat forward
> interpolation between market obtained rates. Here is my output:
>
>
>
>
>
> I am using python and my curve construction is quite straight forward with
> extrapolation enabled(I understand I am committing the cardinal sin by not
> posting my code, but hoping that this is theoretical enough a question for
> a straight forward answer)
>
>
>
> Question:
>
> Is it possible to fix the final zero rate post maturity of the last bond?
> It seems that enableExtrapolation is fixing the final forward rate making
> the zero rate decay over time. I am trying to avoid creating a custom
> function to return zero and forward rates post maturity of the final bond.
>
> I have tried create two curves (a linear flat forward curve and a regular
> flat forward curve) and combining using CompositeZeroYieldStructure however
> I’m not sure which binary function to pass into the function.
>
>
>
> Any help would be appreciated.
>
> Regards
>
> *Jonathan George*
>
> *Quantitative Developer*
>
>
>
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>
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