Class implements concrete component of SmootherCostFunction. More...

#include <SmoothForwardRates.hpp>

Inheritance diagram for julian::ir::SmoothForwardRates:

Public Member Functions
virtual arma::mat	giveQmatrix (const InterpolatedCurve &) const
	returns matrix filled with zeros More...

virtual arma::mat	giveCvector (const InterpolatedCurve &) const
	returns vector filled with zeros More...

virtual double	calculateCost (const InterpolatedCurve &) const
	returns 0.0, as the true cost is calculated by decorators More...

virtual std::vector< double >	giveSmoothedCurve (const InterpolatedCurve &) const
	returns vector of forward rates More...

virtual void	updateSmoothedCurve (InterpolatedCurve &c, const std::vector< double > &r) const
	updates the curve with vector of forward rates More...

virtual SmoothForwardRates *	clone () const
	virtual copy constructor More...

Public Member Functions inherited from julian::ir::SmootherCostFunction
	SmootherCostFunction ()
	constructor More...

virtual	~SmootherCostFunction ()
	destructor More...

Detailed Description

Class implements concrete component of SmootherCostFunction.

SmootherCostFunction implements cost function used by optimization algorithm in swap curve bootstrapping. The mathematical form of cost function is defined in classes that inherits from CostFunctionDecorator. Choosing appropriate decorators, we can minimize for example the length of the swap curve etc.

This class specifies what we actually mean by swap curve. Swap curve can be defined by set of discount factors, zero-coupon rates, forwards rates etc. Choosing this class as base class for CostFunction decorator, we will optimize the forwards rates.

SmoothZeroouponRates is a concrete component in decorator structure. Concrete Component is a class that contains basic behaviour that can be altered by decorators.

Examples:: bootstrapperComparison.cpp.

Member Function Documentation

double julian::ir::SmoothForwardRates::calculateCost ( const InterpolatedCurve & ) const

virtual

returns 0.0, as the true cost is calculated by decorators

Implements julian::ir::SmootherCostFunction.

SmoothForwardRates * julian::ir::SmoothForwardRates::clone ( ) const

virtual

virtual copy constructor

Implements julian::ir::SmootherCostFunction.

arma::mat julian::ir::SmoothForwardRates::giveCvector ( const InterpolatedCurve & curve ) const

virtual

returns vector filled with zeros

Implements julian::ir::SmootherCostFunction.

arma::mat julian::ir::SmoothForwardRates::giveQmatrix ( const InterpolatedCurve & curve ) const

virtual

returns matrix filled with zeros

Implements julian::ir::SmootherCostFunction.

std::vector< double > julian::ir::SmoothForwardRates::giveSmoothedCurve ( const InterpolatedCurve & curve ) const

virtual

returns vector of forward rates

Implements julian::ir::SmootherCostFunction.

void julian::ir::SmoothForwardRates::updateSmoothedCurve	(	InterpolatedCurve &	c,
		const std::vector< double > &	r
	)		const

virtual

updates the curve with vector of forward rates

Implements julian::ir::SmootherCostFunction.

The documentation for this class was generated from the following files:

C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/estimators/costFunctions/SmoothForwardRates.hpp
C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/estimators/costFunctions/SmoothForwardRates.cpp

Public Member Functions

Detailed Description

Member Function Documentation