Fix lower/upper bounds for global bootstrap (#2120)

lballabio · Nov 28, 2024 · e44806f · e44806f
2 parents ce96c8e + c987e2d
commit e44806f
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Showing 2 changed files with 58 additions and 9 deletions.
diff --git a/ql/termstructures/globalbootstrap.hpp b/ql/termstructures/globalbootstrap.hpp
@@ -56,9 +56,9 @@ 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 might fail for other traits - check the usage of Traits::updateGuess(), Traits::guess(),
-      Traits::minValueAfter(), Traits::maxValueAfter() in this class against 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
+      of Traits::updateGuess(), Traits::guess() in this class.
     */
     GlobalBootstrap(std::vector<ext::shared_ptr<typename Traits::helper> > additionalHelpers,
                     std::function<std::vector<Date>()> additionalDates,
@@ -246,9 +246,8 @@ template <class Curve> void GlobalBootstrap<Curve>::calculate() const {
     const Size numberBounds = ts_->times_.size() - 1;
     std::vector<Real> lowerBounds(numberBounds), upperBounds(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
-        lowerBounds[i] = Traits::minValueAfter(i + 1, ts_, validCurve_, 0);
-        upperBounds[i] = Traits::maxValueAfter(i + 1, ts_, validCurve_, 0);
+        lowerBounds[i] = Traits::minValueGlobal(i + 1, ts_, validCurve_);
+        upperBounds[i] = Traits::maxValueGlobal(i + 1, ts_, validCurve_);
     }
 
     // setup cost function
@@ -284,7 +283,9 @@ template <class Curve> void GlobalBootstrap<Curve>::calculate() const {
     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
-        guess[i] = transformInverse(Traits::guess(i + 1, ts_, validCurve_, 0), i);
+        // 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);
     }
 
     // setup problem

diff --git a/ql/termstructures/yield/bootstraptraits.hpp b/ql/termstructures/yield/bootstraptraits.hpp
@@ -38,6 +38,7 @@ namespace QuantLib {
     namespace detail {
         const Real avgRate = 0.05;
         const Real maxRate = 1.0;
+        const Real maxDF = 10.0;
     }
 
     //! Discount-curve traits
@@ -101,6 +102,18 @@ namespace QuantLib {
             return c->data()[i-1] * std::exp(detail::maxRate * dt);
         }
 
+        // possible constraints for global optimization
+        template <class C>
+        static Real minValueGlobal(Size i, const C* c, bool validData)
+        {
+            return 0;
+        }
+        template <class C>
+        static Real maxValueGlobal(Size i, const C* c, bool validData)
+        {
+            return detail::maxDF;
+        }
+
         // root-finding update
         static void updateGuess(std::vector<Real>& data,
                                 Real discount,
@@ -180,6 +193,18 @@ namespace QuantLib {
             return detail::maxRate;
         }
 
+        // possible constraints for global optimization
+        template <class C>
+        static Real minValueGlobal(Size i, const C* c, bool validData)
+        {
+            return -detail::maxRate;
+        }
+        template <class C>
+        static Real maxValueGlobal(Size i, const C* c, bool validData)
+        {
+            return detail::maxRate;
+        }
+
         // root-finding update
         static void updateGuess(std::vector<Real>& data,
                                 Real rate,
@@ -261,6 +286,18 @@ namespace QuantLib {
             return detail::maxRate;
         }
 
+        // possible constraints for global optimization
+        template <class C>
+        static Real minValueGlobal(Size i, const C* c, bool validData)
+        {
+            return -detail::maxRate;
+        }
+        template <class C>
+        static Real maxValueGlobal(Size i, const C* c, bool validData)
+        {
+            return detail::maxRate;
+        }
+
         // root-finding update
         static void updateGuess(std::vector<Real>& data,
                                 Real forward,
@@ -327,8 +364,7 @@ namespace QuantLib {
                 // We choose as min a value very unlikely to be exceeded.
                 result = -detail::maxRate;
             }
-            Real t = c->timeFromReference(c->dates()[i]);
-            return std::max(result, -1.0 / t + 1E-8);
+            return std::max(result, -1.0 / c->times()[i] + 1E-8);
         }
         template <class C>
         static Real maxValueAfter(Size,
@@ -345,6 +381,18 @@ namespace QuantLib {
             return detail::maxRate;
         }
 
+        // possible constraints for global optimization
+        template <class C>
+        static Real minValueGlobal(Size i, const C* c, bool validData)
+        {
+            return std::max(-detail::maxRate, -1.0 / c->times()[i] + 1E-8);
+        }
+        template <class C>
+        static Real maxValueGlobal(Size i, const C* c, bool validData)
+        {
+            return detail::maxRate;
+        }
+
         // root-finding update
         static void updateGuess(std::vector<Real>& data,
                                 Real rate,