Class MultiCurveBootstrap

java.lang.Object

com.quantfinlib.rates.MultiCurveBootstrap

public final class MultiCurveBootstrap
extends Object

Multi-curve bootstrap: an OIS discount curve fitted to its own instruments, then projection curves (3M, 6M, ...) fitted with the OIS curve held fixed for discounting (Ametrano and Bianchetti 2013, SSRN 2219548, sections 3-4).

One pillar per instrument, at its CurveInstrument.pillarDate(); pillar dates must be distinct and after the valuation date. The unknowns are y_i = -ln P(t_i). The solve has two stages:

1. Pillar by pillar: for instrument k, a one-dimensional Newton iteration on y_k with the earlier pillars fixed and the curve extrapolated past pillar k. Exact for CurveInterpolation.LOG_LINEAR_DISCOUNT, whose interpolation is local.
2. A global Newton solve on all pillars together (finite-difference Jacobian, Gaussian elimination with partial pivoting), needed for CurveInterpolation.MONOTONE_CONVEX, whose node forwards couple neighbouring intervals.

The result reprices every input instrument: |implied - quote| is at most TOLERANCE, else the bootstrap throws.

Field Summary

Fields

Modifier and Type	Field	Description
static final double	TOLERANCE	Maximum absolute repricing error accepted, in rate units.

Method Summary

Modifier and Type	Method	Description
static DiscountCurve	bootstrap(LocalDate valuationDate, List<CurveInstrument> instruments, CurveInterpolation interpolation)	A self-discounting curve (OIS: deposits on the overnight rate and OIS swaps).
static DiscountCurve	bootstrapProjection(LocalDate valuationDate, List<CurveInstrument> instruments, CurveInterpolation interpolation, DiscountCurve discount)	A projection curve, discounting on the fixed discount curve.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Details

TOLERANCE

public static final double TOLERANCE

Maximum absolute repricing error accepted, in rate units.

See Also:

• Constant Field Values

Method Details

bootstrap

public static DiscountCurve bootstrap(LocalDate valuationDate,
 List<CurveInstrument> instruments,
 CurveInterpolation interpolation)

A self-discounting curve (OIS: deposits on the overnight rate and OIS swaps). Every instrument is evaluated as impliedQuote(curve, curve).

bootstrapProjection

public static DiscountCurve bootstrapProjection(LocalDate valuationDate,
 List<CurveInstrument> instruments,
 CurveInterpolation interpolation,
 DiscountCurve discount)

A projection curve, discounting on the fixed discount curve. OisSwap is rejected: it does not depend on the projection curve.