QuantLib_LocalBootstrap (3) - Linux Man Pages
QuantLib_LocalBootstrap: Localised-term-structure bootstrapper for most curve types.
QuantLib::LocalBootstrap - Localised-term-structure bootstrapper for most curve types.
Public Member Functions
template<class Curve> class QuantLib::LocalBootstrap< Curve >Localised-term-structure bootstrapper for most curve types.
This algorithm enables a localised fitting for non-local interpolation methods.
As in the similar class (IterativeBootstrap) the input term structure is solved on a number of market instruments which are passed as a vector of handles to BootstrapHelper instances. Their maturities mark the boundaries of the interpolated segments.
Unlike the IterativeBootstrap class, the solution for each interpolated segment is derived using a local approximation. This restricts the risk profile s.t. the risk is localised. Therefore, we obtain a local IR risk profile whilst using a smoother interpolation method. Particularly good for the convex-monotone spline method.
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