public void calculate()
{
//prepare instruments
int n = ts_.instruments_.Count, i;
// ensure rate helpers are sorted
ts_.instruments_.Sort((x, y) => x.latestDate().CompareTo(y.latestDate()));
// check that there is no instruments with the same maturity
for (i = 1; i < n; ++i) {
Date m1 = ts_.instruments_[i - 1].latestDate(),
m2 = ts_.instruments_[i].latestDate();
if (m1 == m2) throw new ArgumentException("two instruments have the same maturity (" + m1 + ")");
}
// check that there is no instruments with invalid quote
if ((i = ts_.instruments_.FindIndex(x => !x.quoteIsValid())) != -1)
throw new ArgumentException("instrument " + i + " (maturity: " + ts_.instruments_[i].latestDate() +
") has an invalid quote");
// setup instruments and register with them
ts_.instruments_.ForEach(x => x.setTermStructure(ts_));
// calculate dates and times
ts_.dates_ = new InitializedList<Date>(n + 1);
ts_.times_ = new InitializedList<double>(n + 1);
ts_.dates_[0] = ts_.initialDate(ts_);
ts_.times_[0] = ts_.timeFromReference(ts_.dates_[0]);
for (i = 0; i < n; ++i) {
ts_.dates_[i + 1] = ts_.instruments_[i].latestDate();
ts_.times_[i + 1] = ts_.timeFromReference(ts_.dates_[i + 1]);
}
// set initial guess only if the current curve cannot be used as guess
if (validCurve_) {
if (ts_.data_.Count != n + 1)
throw new ArgumentException("dimension mismatch: expected " + n + 1 + ", actual " + ts_.data_.Count);
} else {
ts_.data_ = new InitializedList<double>(n + 1);
ts_.data_[0] = ts_.initialValue(ts_);
for (i=0; i<n; ++i)
ts_.data_[i+1] = ts_.initialGuess();
}
Brent solver = new Brent();
int maxIterations = ts_.maxIterations();
for (int iteration=0; ; ++iteration) {
List<double> previousData = ts_.data();
// restart from the previous interpolation
if (validCurve_) {
ts_.interpolation_ = ts_.interpolator_.interpolate(ts_.times_, ts_.times_.Count, ts_.data_);
}
for (i=1; i<n+1; ++i) {
// calculate guess before extending interpolation to ensure that any extrapolation is performed
// using the curve bootstrapped so far and no more
RateHelper instrument = ts_.instruments_[i-1];
double guess = 0;
if (validCurve_ || iteration>0) {
guess = ts_.data_[i];
} else if (i==1) {
guess = ts_.initialGuess();
} else {
// most traits extrapolate
guess = ts_.guess(ts_, ts_.dates_[i]);
}
// bracket
double min = ts_.minValueAfter(i, ts_.data_);
double max = ts_.maxValueAfter(i, ts_.data_);
if (guess <= min || guess >= max)
guess = (min + max) / 2.0;
if (!validCurve_ && iteration == 0) {
// extend interpolation a point at a time
try {
ts_.interpolation_ = ts_.interpolator_.interpolate(ts_.times_, i + 1, ts_.data_);
} catch {
if (!ts_.interpolator_.global)
throw; // no chance to fix it in a later iteration
// otherwise, if the target interpolation is not usable yet
ts_.interpolation_ = new Linear().interpolate(ts_.times_, i + 1, ts_.data_);
}
}
// required because we just changed the data
// is it really required?
ts_.interpolation_.update();
try {
var error = new BootstrapError(ts_, instrument, i);
double r = solver.solve(error, ts_.accuracy_, guess, min, max);
// redundant assignment (as it has been already performed by BootstrapError in solve procedure), but safe
ts_.data_[i] = r;
} catch (Exception e) {
validCurve_ = false;
throw new ArgumentException(" iteration: " + iteration + 1 +
"could not bootstrap the " + i + " instrument, maturity " + ts_.dates_[i] +
": " + e.Message);
}
}
if (!ts_.interpolator_.global)
break; // no need for convergence loop
else if (!validCurve_ && iteration == 0) {
// ensure the target interpolation is used
ts_.interpolation_ = ts_.interpolator_.interpolate(ts_.times_, ts_.times_.Count, ts_.data_);
// at least one more iteration is needed to check convergence
continue;
}
// exit conditions
double improvement = 0.0;
for (i=1; i<n+1; ++i)
improvement = Math.Max(improvement, Math.Abs(ts_.data_[i]-previousData[i]));
if (improvement<=ts_.accuracy_) // convergence reached
break;
if (!(iteration+1 < maxIterations))
throw new ArgumentException("convergence not reached after " + iteration+1 + " iterations; last improvement " +
improvement + ", required accuracy " + ts_.accuracy_);
}
validCurve_ = true;
}
public void calculate()
{
// we might have to call initialize even if the curve is initialized
// and not moving, just because helpers might be date relative and change
// with evaluation date change.
// anyway it makes little sense to use date relative helpers with a
// non-moving curve if the evaluation date changes
if (!initialized_ || ts_.moving_)
{
initialize();
}
// setup helpers
for (int j = firstAliveHelper_; j < n_; ++j)
{
BootstrapHelper <U> helper = ts_.instruments_[j];
// check for valid quote
Utils.QL_REQUIRE(helper.quote().link.isValid(), () =>
(j + 1) + " instrument (maturity: " +
helper.pillarDate() + ") has an invalid quote");
// don't try this at home!
// This call creates helpers, and removes "const".
// There is a significant interaction with observability.
ts_.setTermStructure(ts_.instruments_[j]);
}
List <double> times = ts_.times_;
List <double> data = ts_.data_;
double accuracy = ts_.accuracy_;
int maxIterations = ts_.maxIterations() - 1;
// there might be a valid curve state to use as guess
bool validData = validCurve_;
for (int iteration = 0; ; ++iteration)
{
previousData_ = new List <double>(ts_.data_);
for (int i = 1; i <= alive_; ++i)
{
// pillar loop
// bracket root and calculate guess
double min = ts_.minValueAfter(i, ts_, validData, firstAliveHelper_);
double max = ts_.maxValueAfter(i, ts_, validData, firstAliveHelper_);
double guess = ts_.guess(i, ts_, validData, firstAliveHelper_);
// adjust guess if needed
if (guess >= max)
{
guess = max - (max - min) / 5.0;
}
else if (guess <= min)
{
guess = min + (max - min) / 5.0;
}
// 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(ts_.times_, i + 1, ts_.data_);
//ts_.interpolation_ = ts_.interpolator_.interpolate(times, times.Count, data);
}
catch (Exception)
{
if (!ts_.interpolator_.global)
{
throw; // no chance to fix it in a later iteration
}
// otherwise use Linear while the target
// interpolation is not usable yet
ts_.interpolation_ = new Linear().interpolate(ts_.times_, i + 1, ts_.data_);
//ts_.interpolation_ = new Linear().interpolate(times, times.Count, data);
}
ts_.interpolation_.update();
}
try
{
var error = new BootstrapError <T, U>(ts_, ts_.instruments_[i - 1], i);
if (validData)
{
ts_.data_[i] = solver_.solve(error, accuracy, guess, min, max);
}
else
{
ts_.data_[i] = firstSolver_.solve(error, accuracy, guess, min, max);
}
}
catch (Exception e)
{
// the previous curve state could have been a bad guess
// let's restart without using it
if (validCurve_)
{
validCurve_ = validData = false;
continue;
}
Utils.QL_FAIL((iteration + 1) + " iteration: failed " +
"at " + (i) + " alive instrument, " +
"maturity " + ts_.instruments_[i - 1].pillarDate() +
", reference date " + ts_.dates_[0] +
": " + e.Message);
}
}
if (!loopRequired_)
{
break; // no need for convergence loop
}
// exit condition
double change = Math.Abs(data[1] - previousData_[1]);
for (int i = 2; i <= alive_; ++i)
{
change = Math.Max(change, Math.Abs(data[i] - previousData_[i]));
}
if (change <= accuracy) // convergence reached
{
break;
}
Utils.QL_REQUIRE(iteration < maxIterations, () =>
"convergence not reached after " + iteration +
" iterations; last improvement " + change +
", required accuracy " + accuracy);
validData = true;
}
validCurve_ = true;
}
public void calculate()
{
//prepare instruments
int n = ts_.instruments_.Count, i;
// ensure rate helpers are sorted
ts_.instruments_.Sort((x, y) => x.latestDate().CompareTo(y.latestDate()));
// check that there is no instruments with the same maturity
for (i = 1; i < n; ++i)
{
Date m1 = ts_.instruments_[i - 1].latestDate(),
m2 = ts_.instruments_[i].latestDate();
if (m1 == m2)
{
throw new ArgumentException("two instruments have the same maturity (" + m1 + ")");
}
}
// check that there is no instruments with invalid quote
if ((i = ts_.instruments_.FindIndex(x => !x.quoteIsValid())) != -1)
{
throw new ArgumentException("instrument " + i + " (maturity: " + ts_.instruments_[i].latestDate() +
") has an invalid quote");
}
// setup instruments and register with them
ts_.instruments_.ForEach(x => x.setTermStructure(ts_));
// calculate dates and times
ts_.dates_ = new InitializedList <Date>(n + 1);
ts_.times_ = new InitializedList <double>(n + 1);
ts_.dates_[0] = ts_.initialDate(ts_);
ts_.times_[0] = ts_.timeFromReference(ts_.dates_[0]);
for (i = 0; i < n; ++i)
{
ts_.dates_[i + 1] = ts_.instruments_[i].latestDate();
ts_.times_[i + 1] = ts_.timeFromReference(ts_.dates_[i + 1]);
}
// set initial guess only if the current curve cannot be used as guess
if (validCurve_)
{
if (ts_.data_.Count != n + 1)
{
throw new ArgumentException("dimension mismatch: expected " + n + 1 + ", actual " + ts_.data_.Count);
}
}
else
{
ts_.data_ = new InitializedList <double>(n + 1);
ts_.data_[0] = ts_.initialValue(ts_);
for (i = 0; i < n; ++i)
{
ts_.data_[i + 1] = ts_.initialGuess();
}
}
Brent solver = new Brent();
int maxIterations = ts_.maxIterations();
for (int iteration = 0; ; ++iteration)
{
List <double> previousData = ts_.data();
// restart from the previous interpolation
if (validCurve_)
{
ts_.interpolation_ = ts_.interpolator_.interpolate(ts_.times_, ts_.times_.Count, ts_.data_);
}
for (i = 1; i < n + 1; ++i)
{
// calculate guess before extending interpolation to ensure that any extrapolation is performed
// using the curve bootstrapped so far and no more
RateHelper instrument = ts_.instruments_[i - 1];
double guess = 0;
if (validCurve_ || iteration > 0)
{
guess = ts_.data_[i];
}
else if (i == 1)
{
guess = ts_.initialGuess();
}
else
{
// most traits extrapolate
guess = ts_.guess(ts_, ts_.dates_[i]);
}
// bracket
double min = ts_.minValueAfter(i, ts_.data_);
double max = ts_.maxValueAfter(i, ts_.data_);
if (guess <= min || guess >= max)
{
guess = (min + max) / 2.0;
}
if (!validCurve_ && iteration == 0)
{
// extend interpolation a point at a time
try {
ts_.interpolation_ = ts_.interpolator_.interpolate(ts_.times_, i + 1, ts_.data_);
} catch {
if (!ts_.interpolator_.global)
{
throw; // no chance to fix it in a later iteration
}
// otherwise, if the target interpolation is not usable yet
ts_.interpolation_ = new Linear().interpolate(ts_.times_, i + 1, ts_.data_);
}
}
// required because we just changed the data
// is it really required?
ts_.interpolation_.update();
try {
var error = new BootstrapError(ts_, instrument, i);
double r = solver.solve(error, ts_.accuracy_, guess, min, max);
// redundant assignment (as it has been already performed by BootstrapError in solve procedure), but safe
ts_.data_[i] = r;
} catch (Exception e) {
validCurve_ = false;
throw new ArgumentException(" iteration: " + iteration + 1 +
"could not bootstrap the " + i + " instrument, maturity " + ts_.dates_[i] +
": " + e.Message);
}
}
if (!ts_.interpolator_.global)
{
break; // no need for convergence loop
}
else if (!validCurve_ && iteration == 0)
{
// ensure the target interpolation is used
ts_.interpolation_ = ts_.interpolator_.interpolate(ts_.times_, ts_.times_.Count, ts_.data_);
// at least one more iteration is needed to check convergence
continue;
}
// exit conditions
double improvement = 0.0;
for (i = 1; i < n + 1; ++i)
{
improvement = Math.Max(improvement, Math.Abs(ts_.data_[i] - previousData[i]));
}
if (improvement <= ts_.accuracy_) // convergence reached
{
break;
}
if (!(iteration + 1 < maxIterations))
{
throw new ArgumentException("convergence not reached after " + iteration + 1 + " iterations; last improvement " +
improvement + ", required accuracy " + ts_.accuracy_);
}
}
validCurve_ = true;
}