constrainedSmoother.hpp

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#ifndef JULIAN_IRCONSTRAINEDSMOOTHER_HPP
#define JULIAN_IRCONSTRAINEDSMOOTHER_HPP

#include <marketData/interestRateCurves/estimators/costFunctions/SmootherCostFunction.hpp>
#include <marketData/interestRateCurves/curveBuildingBlock.hpp>
#include <marketData/interestRateCurves/estimators/irCurveEstimator.hpp>
#include <dates/date.hpp>
#include <dates/tenor.hpp>

namespace julian {
namespace ir {

  class ConstrainedSmoother: public Estimator {
  public:
    ConstrainedSmoother(SmartPointer<SmootherCostFunction> cf, const std::vector<double>& lT, const std::vector<double>& uT, int number_of_iterations);
    ConstrainedSmoother(SmartPointer<SmootherCostFunction> cf, double tolerance, int number_of_iterations);
    
    virtual void calculate(const std::vector<SmartPointer<BuildingBlock> >& instruments, const CurveSettings& settings,
               SmartPointer<ir::Curve>& discounting_curve, SmartPointer<ir::Curve>& projection_curve);
    virtual std::vector<double> getDF() const;
    virtual std::vector<Date> getDates() const;
    virtual ConstrainedSmoother* clone() const;

    virtual std::string info() const;
      
    virtual ~ConstrainedSmoother(){};
      
  private:
    arma::mat calculateJacobian(SmartPointer<ir::Curve>, SmartPointer<ir::Curve>, InterpolatedCurve, const std::vector<SmartPointer<BuildingBlock> >&);  
    arma::mat calculateParRates(const SmartPointer<ir::Curve>&, const SmartPointer<ir::Curve>&, const SmartPointer<ir::Curve>&, const std::vector<SmartPointer<BuildingBlock> >&);
  
    SmartPointer<SmootherCostFunction> cost_function_;
    std::vector<double> lower_tolerance_; 
    std::vector<double> upper_tolerance_; 
    int number_of_iterations_; 
    double tolerance_; 
    std::vector<double> DFs_;  
    std::vector<Date> dates_; 
  };
}  // namespace ir
}  // namespace julian

#endif /* IRCONSTRAINEDSMOOTHER_HPP */