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Allow defining globalGuess() in bootstrap traits #2553

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56 changes: 46 additions & 10 deletions ql/termstructures/globalbootstrap.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -31,6 +31,7 @@
#include <ql/utilities/dataformatters.hpp>
#include <algorithm>
#include <functional>
#include <type_traits>
#include <utility>

namespace QuantLib {
Expand Down Expand Up @@ -98,9 +99,8 @@ class AdditionalBootstrapVariables {
for a concrete implementation of this interface.

WARNING: This class is known to work with Traits Discount, ZeroYield, Forward,
i.e. the usual IR curves traits in QL. It requires Traits::transformDirect()
and Traits::transformInverse() to be implemented. Also, check the usage of
Traits::updateGuess(), Traits::guess() in this class.
i.e. the usual IR curves traits in QL. For new Traits you may want to implement
Traits::transformDirect()/transformInverse()/globalGuess().
*/
template <class Curve> class GlobalBootstrap final : public MultiCurveBootstrapContributor {
typedef typename Curve::traits_type Traits; // ZeroYield, Discount, ForwardRate
Expand Down Expand Up @@ -133,6 +133,12 @@ template <class Curve> class GlobalBootstrap final : public MultiCurveBootstrapC
void calculate() const;

private:
template <class T, class = void>
static constexpr bool hasTransform = false;

template <class T, class = void>
static constexpr bool hasGlobalGuess = false;

void initialize() const;
void
setParentBootstrapper(const ext::shared_ptr<MultiCurveBootstrap>& b) const override;
Expand All @@ -158,6 +164,18 @@ template <class Curve> class GlobalBootstrap final : public MultiCurveBootstrapC

// template definitions

template <class Curve>
template <class T>
constexpr bool GlobalBootstrap<Curve>::hasTransform<
T,
std::void_t<decltype(T::transformDirect(Real(), Size(), std::declval<const Curve*>()))>> = true;

template <class Curve>
template <class T>
constexpr bool GlobalBootstrap<Curve>::hasGlobalGuess<
T,
std::void_t<decltype(T::globalGuess(Size(), std::declval<const Curve*>(), true))>> = true;

template <class Curve>
GlobalBootstrap<Curve>::GlobalBootstrap(Real accuracy,
ext::shared_ptr<OptimizationMethod> optimizer,
Expand Down Expand Up @@ -353,8 +371,13 @@ template <class Curve> Array GlobalBootstrap<Curve>::setupCostFunction() const {

// setup interpolation
if (!validCurve_) {
ts_->interpolation_ = ts_->interpolator_.interpolate(ts_->times_.begin(), ts_->times_.end(),
ts_->data_.begin());
ts_->interpolation_ = detail::interpolateWithoutUpdate(
ts_->interpolator_, ts_->times_.begin(), ts_->times_.end(), ts_->data_.begin());
if constexpr (!hasGlobalGuess<Traits>) {
// Update interpolation because Traits::guess() might rely on it. Implementing
// Traits::globalGuess() is a more efficient option.
ts_->interpolation_.update();
}
}

// Initial guess. We have guesses for the curve values first (numberPillars),
Expand All @@ -365,10 +388,19 @@ template <class Curve> Array GlobalBootstrap<Curve>::setupCostFunction() const {
}
Array guess(ts_->times_.size() - 1 + additionalGuesses.size());
for (Size i = 0; i < ts_->times_.size() - 1; ++i) {
// just pass zero as the first alive helper, it's not used in the standard QL traits anyway
// update ts_->data_ since Traits::guess() usually depends on previous values
Traits::updateGuess(ts_->data_, Traits::guess(i + 1, ts_, validCurve_, 0), i + 1);
guess[i] = Traits::transformInverse(ts_->data_[i + 1], i + 1, ts_);
Real value;
if constexpr (hasGlobalGuess<Traits>) {
value = Traits::globalGuess(i + 1, ts_, validCurve_);
} else {
// Just pass zero as the first alive helper, it's not used in the standard QL traits
// anyway. Update ts_->data_ since Traits::guess() usually depends on previous values.
Traits::updateGuess(ts_->data_, Traits::guess(i + 1, ts_, validCurve_, 0), i + 1);
value = ts_->data_[i + 1];
}
if constexpr (hasTransform<Traits>) {
value = Traits::transformInverse(value, i + 1, ts_);
}
guess[i] = value;
}
std::copy(additionalGuesses.begin(), additionalGuesses.end(),
guess.begin() + ts_->times_.size() - 1);
Expand All @@ -380,7 +412,11 @@ void GlobalBootstrap<Curve>::setCostFunctionArgument(const Array& x) const {
// x has the same layout as guess above: the first numberPillars values go into
// the curve, while the rest are new values for the additional variables.
for (Size i = 0; i < ts_->times_.size() - 1; ++i) {
Traits::updateGuess(ts_->data_, Traits::transformDirect(x[i], i + 1, ts_), i + 1);
Real value = x[i];
if constexpr (hasTransform<Traits>) {
value = Traits::transformDirect(value, i + 1, ts_);
}
Traits::updateGuess(ts_->data_, value, i + 1);
}
ts_->interpolation_.update();
if (additionalVariables_) {
Expand Down
32 changes: 14 additions & 18 deletions ql/termstructures/inflation/inflationtraits.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -64,6 +64,13 @@ namespace QuantLib {

return detail::avgInflation;
}
template <class C>
static Real globalGuess(Size i,
const C* c,
bool validData)
{
return guess(i, c, validData, 0);
}

// constraints
template <class C>
Expand Down Expand Up @@ -101,15 +108,6 @@ namespace QuantLib {
if (i==1)
data[0] = level; // the first point is updated as well
}
// transformation to add constraints to an unconstrained optimization
template <class C>
static Real transformDirect(Real x, Size, const C*) {
return x;
}
template <class C>
static Real transformInverse(Real x, Size, const C*) {
return x;
}
// upper bound for convergence loop
static Size maxIterations() { return 40; }
};
Expand Down Expand Up @@ -142,6 +140,13 @@ namespace QuantLib {

return detail::avgInflation;
}
template <class C>
static Real globalGuess(Size i,
const C* c,
bool validData)
{
return guess(i, c, validData, 0);
}

// constraints
template <class C>
Expand Down Expand Up @@ -177,15 +182,6 @@ namespace QuantLib {
Size i) {
data[i] = level;
}
// transformation to add constraints to an unconstrained optimization
template <class C>
static Real transformDirect(Real x, Size, const C*) {
return x;
}
template <class C>
static Real transformInverse(Real x, Size, const C*) {
return x;
}
// upper bound for convergence loop
static Size maxIterations() { return 40; }
};
Expand Down
60 changes: 36 additions & 24 deletions ql/termstructures/yield/bootstraptraits.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -76,6 +76,15 @@ namespace QuantLib {
Real r = -std::log(c->data()[i-1])/c->times()[i-1];
return std::exp(-r * c->times()[i]);
}
template <class C>
static Real globalGuess(Size i,
const C* c,
bool validData)
{
if (validData) // previous iteration value
return c->data()[i];
return std::exp(-detail::avgRate * c->times()[i]);
}

// possible constraints based on previous values
template <class C>
Expand Down Expand Up @@ -161,6 +170,15 @@ namespace QuantLib {
return c->zeroRate(d, c->dayCounter(),
Continuous, Annual, true);
}
template <class C>
static Real globalGuess(Size i,
const C* c,
bool validData)
{
if (validData) // previous iteration value
return c->data()[i];
return detail::avgRate;
}

// possible constraints based on previous values
template <class C>
Expand Down Expand Up @@ -192,18 +210,6 @@ namespace QuantLib {
return detail::maxRate;
}

// transformation to add constraints to an unconstrained optimization
template <class C>
static Real transformDirect(Real x, Size i, const C* c)
{
return x;
}
template <class C>
static Real transformInverse(Real x, Size i, const C* c)
{
return x;
}

// root-finding update
static void updateGuess(std::vector<Real>& data,
Real rate,
Expand Down Expand Up @@ -254,6 +260,15 @@ namespace QuantLib {
return c->forwardRate(d, d, c->dayCounter(),
Continuous, Annual, true);
}
template <class C>
static Real globalGuess(Size i,
const C* c,
bool validData)
{
if (validData) // previous iteration value
return c->data()[i];
return detail::avgRate;
}

// possible constraints based on previous values
template <class C>
Expand Down Expand Up @@ -285,18 +300,6 @@ namespace QuantLib {
return detail::maxRate;
}

// transformation to add constraints to an unconstrained optimization
template <class C>
static Real transformDirect(Real x, Size i, const C* c)
{
return x;
}
template <class C>
static Real transformInverse(Real x, Size i, const C* c)
{
return x;
}

// root-finding update
static void updateGuess(std::vector<Real>& data,
Real forward,
Expand Down Expand Up @@ -346,6 +349,15 @@ namespace QuantLib {
return c->zeroRate(d, c->dayCounter(),
Simple, Annual, true);
}
template <class C>
static Real globalGuess(Size i,
const C* c,
bool validData)
{
if (validData) // previous iteration value
return c->data()[i];
return detail::avgRate;
}

// possible constraints based on previous values
template <class C>
Expand Down
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