quantlib-dev Mailing List for QuantLib (Page 77)

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On Jun 29, 2011, at 8:01 PM, na...@us... wrote:

> Revision: 17823
>          http://quantlib.svn.sourceforge.net/quantlib/?rev=17823&view=rev
> Author:   nando
> Date:     2011-06-29 18:01:02 +0000 (Wed, 29 Jun 2011)
>
> Log Message:
> -----------
> - changed guess signature to allow for a more compact and clear  
> iterative bootstrap algorithm
> - changed signature of minValueAfter and maxValueAfter to include  
> the curve pointer and validData information: this will allow more  
> effective bracketing

Sorry, it breaks backwards compatibility.  We'll have to think how to  
go about this, and it's ok to leave it for the time being, but it will  
have to be reverted.

Luigi

>
> Modified Paths:
> --------------
>    trunk/QuantLib/ql/experimental/inflation/ 
> piecewiseyoyoptionletvolatility.hpp
>    trunk/QuantLib/ql/termstructures/credit/probabilitytraits.hpp
>    trunk/QuantLib/ql/termstructures/inflation/ 
> piecewiseyoyinflationcurve.hpp
>    trunk/QuantLib/ql/termstructures/inflation/ 
> piecewisezeroinflationcurve.hpp
>    trunk/QuantLib/ql/termstructures/iterativebootstrap.hpp
>    trunk/QuantLib/ql/termstructures/localbootstrap.hpp
>    trunk/QuantLib/ql/termstructures/yield/bootstraptraits.hpp
>
> Modified: trunk/QuantLib/ql/experimental/inflation/ 
> piecewiseyoyoptionletvolatility.hpp
> ===================================================================
> --- trunk/QuantLib/ql/experimental/inflation/ 
> piecewiseyoyoptionletvolatility.hpp	2011-06-29 17:50:59 UTC (rev  
> 17822)
> +++ trunk/QuantLib/ql/experimental/inflation/ 
> piecewiseyoyoptionletvolatility.hpp	2011-06-29 18:01:02 UTC (rev  
> 17823)
> @@ -2,6 +2,7 @@
>
> /*
>  Copyright (C) 2009 Chris Kenyon
> + Copyright (C) 2011 Ferdinando Ametrano
>
>  This file is part of QuantLib, a free-software/open-source library
>  for financial quantitative analysts and developers - http://quantlib.org/
> @@ -46,19 +47,34 @@
>                                     // assumptions on early options
>                                     // that are _not_ quoted
>         }
> -        static Volatility initialGuess() {return 0.005;}
> -        static Volatility guess(const YoYOptionletVolatilitySurface*,
> -                                const Date &) {
> +
> +        template <class C>
> +        static Volatility guess(Size i,
> +                                const C* c,
> +                                bool validData) {
> +            if (validData) // previous iteration value
> +                return c->data()[i];
> +
> +            if (i==1) // first pillar
> +                return 0.005;
> +
> +            // could/should extrapolate
>             return 0.002;
>         }
> -        static Volatility minValueAfter(Size n,
> -                                        const  
> std::vector<Volatility> &v) {
> -            return std::max(0.0, v[n-1] - 0.02); // vol cannot be  
> negative
> +
> +        template <class C>
> +        static Volatility minValueAfter(Size i,
> +                                        const C* c,
> +                                        bool validData) {
> +            return std::max(0.0, c->data()[i-1] - 0.02); // vol  
> cannot be negative
>         }
> -        static Volatility maxValueAfter(Size n,
> -                                        const  
> std::vector<Volatility> &v) {
> -            return v[n-1] + 0.02;
> +        template <class C>
> +        static Volatility maxValueAfter(Size i,
> +                                        const C* c,
> +                                        bool validData) {
> +            return c->data()[i-1] + 0.02;
>         }
> +
>         static void updateGuess(std::vector<Volatility> &vols,
>                                 Volatility level,
>                                 Size i) {
> @@ -198,4 +214,3 @@
> }
>
> #endif
> -
>
> Modified: trunk/QuantLib/ql/termstructures/credit/ 
> probabilitytraits.hpp
> ===================================================================
> --- trunk/QuantLib/ql/termstructures/credit/probabilitytraits.hpp	 
> 2011-06-29 17:50:59 UTC (rev 17822)
> +++ trunk/QuantLib/ql/termstructures/credit/probabilitytraits.hpp	 
> 2011-06-29 18:01:02 UTC (rev 17823)
> @@ -5,7 +5,7 @@
>  Copyright (C) 2008 Chris Kenyon
>  Copyright (C) 2008 Roland Lichters
>  Copyright (C) 2008 StatPro Italia srl
> - Copyright (C) 2009 Ferdinando Ametrano
> + Copyright (C) 2009, 2011 Ferdinando Ametrano
>
>  This file is part of QuantLib, a free-software/open-source library
>  for financial quantitative analysts and developers - http://quantlib.org/
> @@ -56,24 +56,37 @@
>         static Real initialValue(const  
> DefaultProbabilityTermStructure*) {
>             return 1.0;
>         }
> -        // initial guess
> -        static Real initialGuess() {
> -            return 1.0/(1.0+detail::avgHazardRate*0.25);
> -        }
> -        // further guesses
> -        static Real guess(const DefaultProbabilityTermStructure* c,
> -                          const Date& d) {
> +
> +        // guesses
> +        template <class C>
> +        static Real guess(Size i,
> +                          const C* c,
> +                          bool validData) {
> +            if (validData) // previous iteration value
> +                return c->data()[i];
> +
> +            if (i==1) // first pillar
> +                return 1.0/(1.0+detail::avgHazardRate*0.25);
> +
> +            // extrapolate
> +            Date d = c->dates()[i];
>             return c->survivalProbability(d,true);
>         }
> +
>         // possible constraints based on previous values
> -        static Real minValueAfter(Size,
> -                                  const std::vector<Real>&) {
> +        template <class C>
> +        static Real minValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             return QL_EPSILON;
>         }
> +        template <class C>
>         static Real maxValueAfter(Size i,
> -                                  const std::vector<Real>& data) {
> -            return data[i-1];
> +                                  const C* c,
> +                                  bool validData) {
> +            return c->data()[i-1];
>         }
> +
>         // update with new guess
>         static void updateGuess(std::vector<Real>& data,
>                                 Probability p,
> @@ -101,24 +114,39 @@
>         static Real initialValue(const  
> DefaultProbabilityTermStructure*) {
>             return detail::avgHazardRate;
>         }
> -        // initial guess
> -        static Real initialGuess() { return detail::avgHazardRate; }
> -        // further guesses
> -        static Real guess(const DefaultProbabilityTermStructure* c,
> -                          const Date& d) {
> +
> +        // guesses
> +        template <class C>
> +        static Real guess(Size i,
> +                          const C* c,
> +                          bool validData) {
> +            if (validData) // previous iteration value
> +                return c->data()[i];
> +
> +            if (i==1) // first pillar
> +                return detail::avgHazardRate;
> +
> +            // extrapolate
> +            Date d = c->dates()[i];
>             return c->hazardRate(d, true);
>         }
> +
>         // possible constraints based on previous values
> -        static Real minValueAfter(Size,
> -                                  const std::vector<Real>&) {
> +        template <class C>
> +        static Real minValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             return QL_EPSILON;
>         }
> -        static Real maxValueAfter(Size,
> -                                  const std::vector<Real>&) {
> +        template <class C>
> +        static Real maxValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             // no constraints.
>             // We choose as max a value very unlikely to be exceeded.
>             return 200.0;
>         }
> +
>         // update with new guess
>         static void updateGuess(std::vector<Real>& data,
>                                 Real rate,
> @@ -148,24 +176,39 @@
>         static Real initialValue(const  
> DefaultProbabilityTermStructure*) {
>             return detail::avgHazardRate;
>         }
> -        // initial guess
> -        static Real initialGuess() { return detail::avgHazardRate; }
> -        // further guesses
> -        static Real guess(const DefaultProbabilityTermStructure* c,
> -                          const Date& d) {
> +
> +        // guesses
> +        template <class C>
> +        static Real guess(Size i,
> +                          const C* c,
> +                          bool validData) {
> +            if (validData) // previous iteration value
> +                return c->data()[i];
> +
> +            if (i==1) // first pillar
> +                return detail::avgHazardRate;
> +
> +            // extrapolate
> +            Date d = c->dates()[i];
>             return c->defaultDensity(d, true);
>         }
> +
>         // possible constraints based on previous values
> -        static Real minValueAfter(Size,
> -                                  const std::vector<Real>&) {
> +        template <class C>
> +        static Real minValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             return QL_EPSILON;
>         }
> -        static Real maxValueAfter(Size,
> -                                  const std::vector<Real>&) {
> +        template <class C>
> +        static Real maxValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             // no constraints.
>             // We choose as max a value very unlikely to be exceeded.
>             return 3.0;
>         }
> +
>         // update with new guess
>         static void updateGuess(std::vector<Real>& data,
>                                 Real density,
> @@ -180,5 +223,4 @@
>
> }
>
> -
> #endif
>
> Modified: trunk/QuantLib/ql/termstructures/inflation/ 
> piecewiseyoyinflationcurve.hpp
> ===================================================================
> --- trunk/QuantLib/ql/termstructures/inflation/ 
> piecewiseyoyinflationcurve.hpp	2011-06-29 17:50:59 UTC (rev 17822)
> +++ trunk/QuantLib/ql/termstructures/inflation/ 
> piecewiseyoyinflationcurve.hpp	2011-06-29 18:01:02 UTC (rev 17823)
> @@ -3,6 +3,7 @@
> /*
>  Copyright (C) 2007 Chris Kenyon
>  Copyright (C) 2007, 2008 StatPro Italia srl
> + Copyright (C) 2011 Ferdinando Ametrano
>
>  This file is part of QuantLib, a free-software/open-source library
>  for financial quantitative analysts and developers - http://quantlib.org/
> @@ -49,18 +50,36 @@
>         static Rate initialValue(const YoYInflationTermStructure* t) {
>             return t->baseRate();
>         }
> -        static Rate initialGuess() { return 0.02; }
> -        // further guesses
> -        static Rate guess(const YoYInflationTermStructure*, const  
> Date&) {
> +
> +        // guesses
> +        template <class C>
> +        static Rate guess(Size i,
> +                          const C* c,
> +                          bool validData) {
> +            if (validData) // previous iteration value
> +                return c->data()[i];
> +
> +            if (i==1) // first pillar
> +                return 0.02;    // initial guess at flat inflation
> +
> +            // could/should extrapolate
>             return 0.02;    // initial guess at flat inflation
>         }
> +
>         // possible constraints based on previous values
> -        static Rate minValueAfter(Size, const std::vector<Rate>&) {
> +        template <class C>
> +        static Rate minValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             return -0.3 + QL_EPSILON;
>         }
> -        static Rate maxValueAfter(Size, const std::vector<Rate>&) {
> +        template <class C>
> +        static Rate maxValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             return 0.5 - QL_EPSILON;
>         }
> +
>         // update with new guess
>         static void updateGuess(std::vector<Rate>& data,
>                                 Rate level,
>
> Modified: trunk/QuantLib/ql/termstructures/inflation/ 
> piecewisezeroinflationcurve.hpp
> ===================================================================
> --- trunk/QuantLib/ql/termstructures/inflation/ 
> piecewisezeroinflationcurve.hpp	2011-06-29 17:50:59 UTC (rev 17822)
> +++ trunk/QuantLib/ql/termstructures/inflation/ 
> piecewisezeroinflationcurve.hpp	2011-06-29 18:01:02 UTC (rev 17823)
> @@ -3,6 +3,7 @@
> /*
>  Copyright (C) 2007 Chris Kenyon
>  Copyright (C) 2007, 2008 StatPro Italia srl
> + Copyright (C) 2011 Ferdinando Ametrano
>
>  This file is part of QuantLib, a free-software/open-source library
>  for financial quantitative analysts and developers - http://quantlib.org/
> @@ -49,18 +50,36 @@
>         static Rate initialValue(const ZeroInflationTermStructure*  
> t) {
>             return t->baseRate();
>         }
> -        static Rate initialGuess() { return 0.02; }
> -        // further guesses
> -        static Rate guess(const ZeroInflationTermStructure*, const  
> Date&) {
> +
> +        // guesses
> +        template <class C>
> +        static Rate guess(Size i,
> +                          const C* c,
> +                          bool validData) {
> +            if (validData) // previous iteration value
> +                return c->data()[i];
> +
> +            if (i==1) // first pillar
> +                return 0.02;
> +
> +            // could/should extrapolate
>             return 0.02;    // initial guess at flat inflation
>         }
> +
>         // possible constraints based on previous values
> -        static Real minValueAfter(Size, const std::vector<Rate>&) {
> +        template <class C>
> +        static Real minValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             return -0.1 + QL_EPSILON;
>         }
> -        static Real maxValueAfter(Size, const std::vector<Rate>&) {
> +        template <class C>
> +        static Real maxValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             return 0.3 - QL_EPSILON;
>         }
> +
>         // update with new guess
>         static void updateGuess(std::vector<Rate>& data,
>                                 Rate level,
> @@ -195,4 +214,3 @@
> }
>
> #endif
> -
>
> Modified: trunk/QuantLib/ql/termstructures/iterativebootstrap.hpp
> ===================================================================
> --- trunk/QuantLib/ql/termstructures/iterativebootstrap.hpp	 
> 2011-06-29 17:50:59 UTC (rev 17822)
> +++ trunk/QuantLib/ql/termstructures/iterativebootstrap.hpp	 
> 2011-06-29 18:01:02 UTC (rev 17823)
> @@ -114,7 +114,7 @@
>             ts_->data_[0] = Traits::initialValue(ts_);
>             // reasonable numbers needed for the starting  
> interpolation
>             for (Size i=1; i<alive_+1; ++i)
> -                ts_->data_[i] = Traits::initialGuess();
> +                ts_->data_[i] = Traits::guess(1, ts_, false);
>         }
>         initialized_ = true;
>     }
> @@ -149,21 +149,18 @@
>
>                 bool validData = validCurve_ || iteration>0;
>
> -                // bracket root
> -                Real min = Traits::minValueAfter(i, ts_->data_);
> -                Real max = Traits::maxValueAfter(i, ts_->data_);
> +                // bracket root and calculate guess
> +                Real min = Traits::minValueAfter(i, ts_, validData);
> +                Real max = Traits::maxValueAfter(i, ts_, validData);
> +                Real guess = Traits::guess(i, ts_, validData);
> +                // adjust guess if needed
> +                if (guess>=max)
> +                    guess = max - (max-min)/5.0;
> +                else if (guess<=min)
> +                    guess = min + (max-min)/5.0;
>
> -                // calculate guess and extend interpolation if needed
> -                Real guess = 0.0;
> -                if (validData) {
> -                    guess = ts_->data_[i]; // previous iteration  
> value
> -                } else {
> -                    if (i==1) // special first pillar case
> -                        guess = Traits::initialGuess();
> -                    else // most traits extrapolate (using only
> -                         // the curve bootstrapped so far)
> -                        guess = Traits::guess(ts_, ts_->dates_[i]);
> -
> +                // extend interpolation if needed
> +                if (!validData) {
>                     try { // extend interpolation a point at a time
>                           // including the pillar to be boostrapped
>                         ts_->interpolation_ = ts_- 
> >interpolator_.interpolate(
> @@ -182,11 +179,6 @@
>                         ts_->interpolation_.update();
>                     }
>                 }
> -                // adjust guess if needed
> -                if (guess>=max)
> -                    guess = max - (max-min)/5.0;
> -                else if (guess<=min)
> -                    guess = min + (max-min)/5.0;
>
>                 // the actual instrument used for the current pillar
>                 boost::shared_ptr<typename Traits::helper>  
> instrument =
>
> Modified: trunk/QuantLib/ql/termstructures/localbootstrap.hpp
> ===================================================================
> --- trunk/QuantLib/ql/termstructures/localbootstrap.hpp	2011-06-29  
> 17:50:59 UTC (rev 17822)
> +++ trunk/QuantLib/ql/termstructures/localbootstrap.hpp	2011-06-29  
> 18:01:02 UTC (rev 17823)
> @@ -222,7 +222,7 @@
>
>             if (iInst >= localisation_) {
>                 startArray[localisation_-dataAdjust] =
> -                    Traits::guess(ts_, ts_->dates_[iInst]);
> +                    Traits::guess(iInst, ts_, false); // ?
>             } else {
>                 startArray[localisation_-dataAdjust] = ts_->data_[0];
>             }
>
> Modified: trunk/QuantLib/ql/termstructures/yield/bootstraptraits.hpp
> ===================================================================
> --- trunk/QuantLib/ql/termstructures/yield/bootstraptraits.hpp	 
> 2011-06-29 17:50:59 UTC (rev 17822)
> +++ trunk/QuantLib/ql/termstructures/yield/bootstraptraits.hpp	 
> 2011-06-29 18:01:02 UTC (rev 17823)
> @@ -2,6 +2,7 @@
>
> /*
>  Copyright (C) 2005, 2007 StatPro Italia srl
> + Copyright (C) 2011 Ferdinando Ametrano
>  Copyright (C) 2007 Chris Kenyon
>
>  This file is part of QuantLib, a free-software/open-source library
> @@ -46,6 +47,7 @@
>         };
>         // helper class
>         typedef BootstrapHelper<YieldTermStructure> helper;
> +
>         // start of curve data
>         static Date initialDate(const YieldTermStructure* c) {
>             return c->referenceDate();
> @@ -54,31 +56,44 @@
>         static DiscountFactor initialValue(const  
> YieldTermStructure*) {
>             return 1.0;
>         }
> -        // initial guess
> -        static DiscountFactor initialGuess() {
> -            return 1.0/(1.0+detail::avgRate*0.25);
> -        }
> -        // further guesses
> -        static DiscountFactor guess(const YieldTermStructure* c,
> -                                    const Date& d) {
> +
> +        // guesses
> +        template <class C>
> +        static DiscountFactor guess(Size i,
> +                                    const C* c,
> +                                    bool validData) {
> +            if (validData) // previous iteration value
> +                return c->data()[i];
> +
> +            if (i==1) // first pillar
> +                return 1.0/(1.0+detail::avgRate*0.25);
> +
> +            // extrapolate
> +            Date d = c->dates()[i];
>             return c->discount(d,true);
>         }
> +
>         // possible constraints based on previous values
> -        static DiscountFactor minValueAfter(Size,
> -                                            const  
> std::vector<Real>&) {
> +        template <class C>
> +        static DiscountFactor minValueAfter(Size i,
> +                                            const C* c,
> +                                            bool validData) {
>             return QL_EPSILON;
>         }
> +        template <class C>
>         static DiscountFactor maxValueAfter(Size i,
> -                                            const  
> std::vector<Real>& data) {
> +                                            const C* c,
> +                                            bool validData) {
>             #if defined(QL_NEGATIVE_RATES)
>             // discount are not required to be decreasing--all bets  
> are off.
>             // We choose as max a value very unlikely to be exceeded.
>             return 1.1;
>             #else
>             // discounts cannot increase
> -            return data[i-1];
> +            return c->data()[i-1];
>             #endif
>         }
> +
>         // update with new guess
>         static void updateGuess(std::vector<DiscountFactor>& data,
>                                 DiscountFactor discount,
> @@ -107,16 +122,29 @@
>         static Rate initialValue(const YieldTermStructure*) {
>             return detail::avgRate;
>         }
> -        // initial guess
> -        static Rate initialGuess() { return detail::avgRate; }
> -        // further guesses
> -        static Rate guess(const YieldTermStructure* c,
> -                          const Date& d) {
> +
> +        // guesses
> +        template <class C>
> +        static Rate guess(Size i,
> +                          const C* c,
> +                          bool validData) {
> +            if (validData) // previous iteration value
> +                return c->data()[i];
> +
> +            if (i==1) // first pillar
> +                return detail::avgRate;
> +
> +            // extrapolate
> +            Date d = c->dates()[i];
>             return c->zeroRate(d, c->dayCounter(),
>                                Continuous, Annual, true);
>         }
> +
>         // possible constraints based on previous values
> -        static Rate minValueAfter(Size, const std::vector<Real>&) {
> +        template <class C>
> +        static Rate minValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             #if defined(QL_NEGATIVE_RATES)
>             // no constraints.
>             // We choose as min a value very unlikely to be exceeded.
> @@ -125,11 +153,15 @@
>             return QL_EPSILON;
>             #endif
>         }
> -        static Rate maxValueAfter(Size, const std::vector<Real>&) {
> +        template <class C>
> +        static Rate maxValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             // no constraints.
>             // We choose as max a value very unlikely to be exceeded.
>             return detail::maxRate;
>         }
> +
>         // update with new guess
>         static void updateGuess(std::vector<Rate>& data,
>                                 Rate rate,
> @@ -160,16 +192,29 @@
>         static Rate initialValue(const YieldTermStructure*) {
>             return detail::avgRate;
>         }
> -        // initial guess
> -        static Rate initialGuess() { return detail::avgRate; }
> -        // further guesses
> -        static Rate guess(const YieldTermStructure* c,
> -                          const Date& d) {
> +
> +        // guesses
> +        template <class C>
> +        static Rate guess(Size i,
> +                          const C* c,
> +                          bool validData) {
> +            if (validData) // previous iteration value
> +                return c->data()[i];
> +
> +            if (i==1) // first pillar
> +                return detail::avgRate;
> +
> +            // extrapolate
> +            Date d = c->dates()[i];
>             return c->forwardRate(d, d, c->dayCounter(),
>                                   Continuous, Annual, true);
>         }
> +
>         // possible constraints based on previous values
> -        static Rate minValueAfter(Size, const std::vector<Real>&) {
> +        template <class C>
> +        static Rate minValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             #if defined(QL_NEGATIVE_RATES)
>             // no constraints.
>             // We choose as min a value very unlikely to be exceeded.
> @@ -178,11 +223,15 @@
>             return QL_EPSILON;
>             #endif
>         }
> -        static Rate maxValueAfter(Size, const std::vector<Real>&) {
> +        template <class C>
> +        static Rate maxValueAfter(Size i,
> +                                  const C* c,
> +                                  bool validData) {
>             // no constraints.
>             // We choose as max a value very unlikely to be exceeded.
>             return detail::maxRate;
>         }
> +
>         // update with new guess
>         static void updateGuess(std::vector<Rate>& data,
>                                 Rate forward,
>
>
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