rootFindingBootstrapper.hpp

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#ifndef JULIAN_ROOTFINDINGBOOTSTRAPPER_HPP
#define JULIAN_ROOTFINDINGBOOTSTRAPPER_HPP

#include <marketData/interestRateCurves/estimators/irCurveEstimator.hpp>
#include <marketData/interestRateCurves/interpolatedCurve.hpp>
#include <mathematics/numericalAlgorithms/derivativeRootFinder.hpp>
#include <gsl/gsl_errno.h>
#include <gsl/gsl_math.h>
#include <gsl/gsl_roots.h>

namespace julian {
namespace ir {
  class RootFindingBootstrapper: public Estimator {
  public:
    RootFindingBootstrapper(DerivativeRootFinder method = DerivativeRootFinder::STEFFENSEN): method_(method) {};
    void calculate(const std::vector<SmartPointer<BuildingBlock> >& instruments,
           const CurveSettings& settings,
           SmartPointer<ir::Curve>& discounting, SmartPointer<ir::Curve>& projection);
    std::vector<double> getDF() const;
    std::vector<Date> getDates() const;

    std::string info() const;
      
    RootFindingBootstrapper* clone() const;
    ~RootFindingBootstrapper(){};
  private:
    std::vector<double> discount_factors_; 
    std::vector<Date> dates_; 
    DerivativeRootFinder method_; 
  };
}  // namespace ir
}  // namespace julian

#endif