Class implements concrete component of SmootherCostFunction. More...

#include <SmoothZeroCouponRates.hpp>

Inheritance diagram for julian::ir::SmoothZeroCouponRates:
julian::ir::SmootherCostFunction

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

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

Member Function Documentation

double julian::ir::SmoothZeroCouponRates::calculateCost ( const InterpolatedCurve ) const
virtual

returns 0.0, as the true cost is calculated by decorators

Implements julian::ir::SmootherCostFunction.

SmoothZeroCouponRates * julian::ir::SmoothZeroCouponRates::clone ( ) const
virtual

virtual copy constructor

Implements julian::ir::SmootherCostFunction.

arma::mat julian::ir::SmoothZeroCouponRates::giveCvector ( const InterpolatedCurve curve) const
virtual

returns vector filled with zeros

Implements julian::ir::SmootherCostFunction.

arma::mat julian::ir::SmoothZeroCouponRates::giveQmatrix ( const InterpolatedCurve curve) const
virtual

returns matrix filled with zeros

Implements julian::ir::SmootherCostFunction.

std::vector< double > julian::ir::SmoothZeroCouponRates::giveSmoothedCurve ( const InterpolatedCurve curve) const
virtual

returns vector of zero-coupon rates

Implements julian::ir::SmootherCostFunction.

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

updates the curve with vector of zero-coupon 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/SmoothZeroCouponRates.hpp
  • C:/Unix/home/OEM/jULIAN/src/marketData/interestRateCurves/estimators/costFunctions/SmoothZeroCouponRates.cpp