algebraicBootstrapper.hpp

Go to the documentation of this file.

#ifndef JULIAN_ALGEBRAICBOOTSTRAPPER_HPP
#define JULIAN_ALGEBRAICBOOTSTRAPPER_HPP

#include <marketData/interestRateCurves/estimators/irCurveEstimator.hpp>
#include <armadillo>

namespace julian {
namespace ir {
  class AlgebraicBootstrapper: public Estimator {
  public:
    AlgebraicBootstrapper(){};
    void calculate(const std::vector<SmartPointer<BuildingBlock> >& instruments, const CurveSettings& settings,
           SmartPointer<Curve>& discountingCurve, SmartPointer<Curve>& projectionCurve);
    std::vector<double> getDF() const;
    std::vector<Date> getDates() const;

    std::string info() const;
      
    AlgebraicBootstrapper* clone() const;
    ~AlgebraicBootstrapper(){};
  private:
    std::vector<Date> getMaturityDates(const std::vector<SmartPointer<ir::BuildingBlock> >& instruments, const Date& today);
    void getGridDates(const std::vector<SmartPointer<ir::BuildingBlock> >& instruments);
    std::vector<Date> getLackingDates(const std::vector<Date>& maturity_dates);
    std::vector<CashFlowVector> createCFsVector(const std::vector<SmartPointer<ir::BuildingBlock> >& instruments, const std::vector<Date>& lacking_dates, Date today);
    arma::mat prepareEquationSystem(const std::vector<CashFlowVector>& cfs_vecs);
    
    std::vector<double> DFs_;  
    std::vector<Date> dates_; 
  };
    
}  // namespace ir
}  // namespace julian

#endif