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Move transformation used in GlobalBootstrap into Traits #2135

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Jan 17, 2025
Merged

Move transformation used in GlobalBootstrap into Traits #2135

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24 changes: 5 additions & 19 deletions ql/termstructures/globalbootstrap.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -57,7 +57,7 @@ template <class Curve> class GlobalBootstrap {
The additional helpers are treated like the usual rate helpers, but no standard pillar dates are added for them.

WARNING: This class is known to work with Traits Discount, ZeroYield, Forward, i.e. the usual traits for IR curves
in QL. It requires Traits::minValueGlobal() and Traits::maxValueGlobal() to be implemented. Also, check the usage
in QL. It requires Traits::transformDirect() and Traits::transformInverse() to be implemented. Also, check the usage
of Traits::updateGuess(), Traits::guess() in this class.
*/
GlobalBootstrap(std::vector<ext::shared_ptr<typename Traits::helper> > additionalHelpers,
Expand Down Expand Up @@ -200,6 +200,7 @@ template <class Curve> void GlobalBootstrap<Curve>::initialize() const {
// but reasonable numbers might be needed for the whole data vector
// because, e.g., of interpolation's early checks
ts_->data_ = std::vector<Real>(dates.size(), Traits::initialValue(ts_));
validCurve_ = false;
}
initialized_ = true;
}
Expand Down Expand Up @@ -242,26 +243,10 @@ template <class Curve> void GlobalBootstrap<Curve>::calculate() const {
ts_->interpolator_.interpolate(ts_->times_.begin(), ts_->times_.end(), ts_->data_.begin());
}

// determine bounds, we use an unconstrained optimisation transforming the free variables to [lowerBound,upperBound]
const Size numberBounds = ts_->times_.size() - 1;
std::vector<Real> lowerBounds(numberBounds), upperBounds(numberBounds);
for (Size i = 0; i < numberBounds; ++i) {
lowerBounds[i] = Traits::minValueGlobal(i + 1, ts_, validCurve_);
upperBounds[i] = Traits::maxValueGlobal(i + 1, ts_, validCurve_);
}

// setup cost function
auto transformDirect = [&](const Real x, const Size i) {
return (std::atan(x) + M_PI_2) / M_PI * (upperBounds[i] - lowerBounds[i]) + lowerBounds[i];
};

auto transformInverse = [&](const Real y, const Size i) {
return std::tan((y - lowerBounds[i]) * M_PI / (upperBounds[i] - lowerBounds[i]) - M_PI_2);
};

SimpleCostFunction cost([&](const Array& x) {
for (Size i = 0; i < x.size(); ++i) {
Traits::updateGuess(ts_->data_, transformDirect(x[i], i), i + 1);
Traits::updateGuess(ts_->data_, Traits::transformDirect(x[i], i + 1, ts_), i + 1);
}
ts_->interpolation_.update();
std::vector<Real> result(numberHelpers_);
Expand All @@ -280,12 +265,13 @@ template <class Curve> void GlobalBootstrap<Curve>::calculate() const {
});

// setup guess
const Size numberBounds = ts_->times_.size() - 1;
Array guess(numberBounds);
for (Size i = 0; i < numberBounds; ++i) {
// just pass zero as the first alive helper, it's not used in the standard QL traits anyway
// update ts_->data_ since Traits::guess() usually depends on previous values
Traits::updateGuess(ts_->data_, Traits::guess(i + 1, ts_, validCurve_, 0), i + 1);
guess[i] = transformInverse(ts_->data_[i + 1], i);
guess[i] = Traits::transformInverse(ts_->data_[i + 1], i + 1, ts_);
}

// setup problem
Expand Down
41 changes: 20 additions & 21 deletions ql/termstructures/yield/bootstraptraits.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -38,7 +38,6 @@ namespace QuantLib {
namespace detail {
const Real avgRate = 0.05;
const Real maxRate = 1.0;
const Real maxDF = 10.0;
}

//! Discount-curve traits
Expand Down Expand Up @@ -102,16 +101,16 @@ namespace QuantLib {
return c->data()[i-1] * std::exp(detail::maxRate * dt);
}

// possible constraints for global optimization
// transformation to add constraints to an unconstrained optimization
template <class C>
static Real minValueGlobal(Size i, const C* c, bool validData)
static Real transformDirect(Real x, Size i, const C* c)
{
return 0;
return std::exp(x);
}
template <class C>
static Real maxValueGlobal(Size i, const C* c, bool validData)
static Real transformInverse(Real x, Size i, const C* c)
{
return detail::maxDF;
return std::log(x);
}

// root-finding update
Expand Down Expand Up @@ -193,16 +192,16 @@ namespace QuantLib {
return detail::maxRate;
}

// possible constraints for global optimization
// transformation to add constraints to an unconstrained optimization
template <class C>
static Real minValueGlobal(Size i, const C* c, bool validData)
static Real transformDirect(Real x, Size i, const C* c)
{
return -detail::maxRate;
return x;
}
template <class C>
static Real maxValueGlobal(Size i, const C* c, bool validData)
static Real transformInverse(Real x, Size i, const C* c)
{
return detail::maxRate;
return x;
}

// root-finding update
Expand Down Expand Up @@ -286,16 +285,16 @@ namespace QuantLib {
return detail::maxRate;
}

// possible constraints for global optimization
// transformation to add constraints to an unconstrained optimization
template <class C>
static Real minValueGlobal(Size i, const C* c, bool validData)
static Real transformDirect(Real x, Size i, const C* c)
{
return -detail::maxRate;
return x;
}
template <class C>
static Real maxValueGlobal(Size i, const C* c, bool validData)
static Real transformInverse(Real x, Size i, const C* c)
{
return detail::maxRate;
return x;
}

// root-finding update
Expand Down Expand Up @@ -381,16 +380,16 @@ namespace QuantLib {
return detail::maxRate;
}

// possible constraints for global optimization
// transformation to add constraints to an unconstrained optimization
template <class C>
static Real minValueGlobal(Size i, const C* c, bool validData)
static Real transformDirect(Real x, Size i, const C* c)
{
return std::max(-detail::maxRate, -1.0 / c->times()[i] + 1E-8);
return std::exp(x) + (-1.0 / c->times()[i] + 1E-8);
}
template <class C>
static Real maxValueGlobal(Size i, const C* c, bool validData)
static Real transformInverse(Real x, Size i, const C* c)
{
return detail::maxRate;
return std::log(x - (-1.0 / c->times()[i] + 1E-8));
}

// root-finding update
Expand Down
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