Inheritance diagram for julian::ir::UnconstrainedSmoother:

Public Member Functions
	UnconstrainedSmoother (SmartPointer< SmootherCostFunction > cost_function, double lambda)

virtual void	calculate (const std::vector< SmartPointer< BuildingBlock > > &instruments, const CurveSettings &settings, SmartPointer< Curve > &discounting_curve, SmartPointer< Curve > &projection_curve)
	estimates the curve More...

virtual std::vector< double >	getDF () const
	returns DFs More...

virtual std::vector< Date >	getDates () const
	returns dates More...

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

std::string	info () const
	returns name of estimator More...

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

virtual	~Estimator ()
	destructor More...

Private Attributes
std::vector< double >	DFs_
	Vector holding the Discount Factors being result of estimation. More...

std::vector< Date >	dates_
	Grid dates of resulting curve. More...

SmartPointer< SmootherCostFunction >	cost_function_
	Cost Function. More...

double	lambda_

Detailed Description

Examples:: bootstrapperComparison.cpp, and unconstrainedBootstrapperExample.cpp.

Member Function Documentation

void julian::ir::UnconstrainedSmoother::calculate	(	const std::vector< SmartPointer< BuildingBlock > > &	instruments,
		const CurveSettings &	settings,
		SmartPointer< Curve > &	discounting_curve,
		SmartPointer< Curve > &	projection_curve
	)

virtual

estimates the curve

calculates method estimates the curve and saves the result into the class members

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

virtual

virtual copy constructor

std::vector< Date > julian::ir::UnconstrainedSmoother::getDates ( ) const

virtual

returns dates

Method should be called after calling method Estimator::calculate

std::vector< double > julian::ir::UnconstrainedSmoother::getDF ( ) const

virtual

returns DFs

Method should be called after calling method Estimator::calculate

std::string julian::ir::UnconstrainedSmoother::info ( ) const

virtual

returns name of estimator

SmartPointer<SmootherCostFunction> julian::ir::UnconstrainedSmoother::cost_function_

private

Cost Function.

std::vector<Date> julian::ir::UnconstrainedSmoother::dates_

private

Grid dates of resulting curve.

std::vector<double> julian::ir::UnconstrainedSmoother::DFs_

private

Vector holding the Discount Factors being result of estimation.

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

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