//! rerun every time instruments/referenceDate changes
internal virtual void init()
{
// yield conventions
DayCounter yieldDC = curve_.dayCounter();
Compounding yieldComp = Compounding.Compounded;
Frequency yieldFreq = Frequency.Annual;
int n = curve_.bondHelpers_.Count;
costFunction_ = new FittingCost(this);
costFunction_.firstCashFlow_ = new InitializedList <int>(n);
for (int i = 0; i < curve_.bondHelpers_.Count; ++i)
{
Bond bond = curve_.bondHelpers_[i].bond();
List <CashFlow> cf = bond.cashflows();
Date bondSettlement = bond.settlementDate();
for (int k = 0; k < cf.Count; ++k)
{
if (!cf[k].hasOccurred(bondSettlement, false))
{
costFunction_.firstCashFlow_[i] = k;
break;
}
}
}
if (calculateWeights_)
{
//if (weights_.empty())
weights_ = new Vector(n);
double squaredSum = 0.0;
for (int i = 0; i < curve_.bondHelpers_.Count; ++i)
{
Bond bond = curve_.bondHelpers_[i].bond();
double cleanPrice = curve_.bondHelpers_[i].quote().link.value();
Date bondSettlement = bond.settlementDate();
double ytm = BondFunctions.yield(bond, cleanPrice, yieldDC, yieldComp, yieldFreq, bondSettlement);
double dur = BondFunctions.duration(bond, ytm, yieldDC, yieldComp, yieldFreq,
Duration.Type.Modified, bondSettlement);
weights_[i] = 1.0 / dur;
squaredSum += weights_[i] * weights_[i];
}
weights_ /= Math.Sqrt(squaredSum);
}
Utils.QL_REQUIRE(weights_.size() == n, () =>
"Given weights do not cover all boostrapping helpers");
}
// curve optimization called here- adjust optimization parameters here
internal void calculate()
{
FittingCost costFunction = costFunction_;
Constraint constraint = new NoConstraint();
// start with the guess solution, if it exists
Vector x = new Vector(size(), 0.0);
if (!curve_.guessSolution_.empty())
{
x = curve_.guessSolution_;
}
if (curve_.maxEvaluations_ == 0)
{
//Don't calculate, simply use given parameters to provide a fitted curve.
//This turns the fittedbonddiscountcurve into an evaluator of the parametric
//curve, for example allowing to use the parameters for a credit spread curve
//calculated with bonds in one currency to be coupled to a discount curve in
//another currency.
return;
}
//workaround for backwards compatibility
OptimizationMethod optimization = optimizationMethod_;
if (optimization == null)
{
optimization = new Simplex(curve_.simplexLambda_);
}
Problem problem = new Problem(costFunction, constraint, x);
double rootEpsilon = curve_.accuracy_;
double functionEpsilon = curve_.accuracy_;
double gradientNormEpsilon = curve_.accuracy_;
EndCriteria endCriteria = new EndCriteria(curve_.maxEvaluations_,
curve_.maxStationaryStateIterations_,
rootEpsilon,
functionEpsilon,
gradientNormEpsilon);
optimization.minimize(problem, endCriteria);
solution_ = problem.currentValue();
numberOfIterations_ = problem.functionEvaluation();
costValue_ = problem.functionValue();
// save the results as the guess solution, in case of recalculation
curve_.guessSolution_ = solution_;
}
