13667868683

Committed 05 Mar 2025 03:28AM UTC coverage: 73.314% (+0.04%) from 73.274%

Build # 13667868683

Build Type

Pull #2163

github

Committed by

web-flow

Commit Message

Merge 60581c90d into 2391bbf48

Pull Request Pull Request #2163: Allow optimizing additional variables during global bootstrap

Run Details

43 of 44 new or added lines in 2 files covered. (97.73%)

1 existing line in 1 file now uncovered.

56252 of 76727 relevant lines covered (73.31%)

8655972.12 hits per line

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96.15

/ql/termstructures/globalbootstrapvars.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

#include <ql/termstructures/globalbootstrapvars.hpp>
#include <ql/utilities/null.hpp>
#include <ql/utilities/vectors.hpp>
#include <utility>

namespace QuantLib {

    SimpleQuoteVariables::SimpleQuoteVariables(std::vector<ext::shared_ptr<SimpleQuote>> quotes,
                                               std::vector<Real> initialGuesses,
                                               std::vector<Real> lowerBounds)
    : quotes_(std::move(quotes)), initialGuesses_(std::move(initialGuesses)),
      lowerBounds_(std::move(lowerBounds)) {
        QL_REQUIRE(initialGuesses_.size() <= quotes_.size(), "too many initialGuesses");
        QL_REQUIRE(lowerBounds_.size() <= quotes_.size(), "too many lowerBounds");
    }

    Array SimpleQuoteVariables::initialize(bool validData) {
        Array guesses(quotes_.size());
        for (Size i = 0, size = guesses.size(); i < size; ++i) {
            Real guess;
            if (validData) {
                guess = quotes_[i]->value();
            } else {
                guess = detail::get(initialGuesses_, i, 0.0);
                quotes_[i]->setValue(guess);
            }
            guesses[i] = transformInverse(guess, i);
        }
        return guesses;
    }

    void SimpleQuoteVariables::update(const Array& x) {
        for (Size i = 0, size = x.size(); i < size; ++i) {
            quotes_[i]->setValue(transformDirect(x[i], i));
        }
    }

    Real SimpleQuoteVariables::transformDirect(Real x, Size i) const {
        const Real lb = detail::get(lowerBounds_, i, Null<Real>());
        return lb == Null<Real>() ? x : std::exp(x) + lb;
    }

    Real SimpleQuoteVariables::transformInverse(Real x, Size i) const {
        const Real lb = detail::get(lowerBounds_, i, Null<Real>());
        return lb == Null<Real>() ? x : std::log(x - lb);
    }
}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	#include <ql/termstructures/globalbootstrapvars.hpp>
4	#include <ql/utilities/null.hpp>
5	#include <ql/utilities/vectors.hpp>
6	#include <utility>
7
8	namespace QuantLib {
9
10	SimpleQuoteVariables::SimpleQuoteVariables(std::vector<ext::shared_ptr<SimpleQuote>> quotes,	1✔
11	std::vector<Real> initialGuesses,
12	std::vector<Real> lowerBounds)	1✔
13	: quotes_(std::move(quotes)), initialGuesses_(std::move(initialGuesses)),	1✔
14	lowerBounds_(std::move(lowerBounds)) {	1✔
15	QL_REQUIRE(initialGuesses_.size() <= quotes_.size(), "too many initialGuesses");	1✔
16	QL_REQUIRE(lowerBounds_.size() <= quotes_.size(), "too many lowerBounds");	1✔
17	}	1✔
18
19	Array SimpleQuoteVariables::initialize(bool validData) {	1✔
20	Array guesses(quotes_.size());	1✔
21	for (Size i = 0, size = guesses.size(); i < size; ++i) {	2✔
22	Real guess;
23	if (validData) {	1✔
NEW 24	guess = quotes_[i]->value();	×
25	} else {
26	guess = detail::get(initialGuesses_, i, 0.0);	1✔
27	quotes_[i]->setValue(guess);	1✔
28	}
29	guesses[i] = transformInverse(guess, i);	1✔
30	}
31	return guesses;	1✔
32	}
33
34	void SimpleQuoteVariables::update(const Array& x) {	253✔
35	for (Size i = 0, size = x.size(); i < size; ++i) {	506✔
36	quotes_[i]->setValue(transformDirect(x[i], i));	253✔
37	}
38	}	253✔
39
40	Real SimpleQuoteVariables::transformDirect(Real x, Size i) const {	253✔
41	const Real lb = detail::get(lowerBounds_, i, Null<Real>());	253✔
42	return lb == Null<Real>() ? x : std::exp(x) + lb;	253✔
43	}
44
45	Real SimpleQuoteVariables::transformInverse(Real x, Size i) const {	1✔
46	const Real lb = detail::get(lowerBounds_, i, Null<Real>());	1✔
47	return lb == Null<Real>() ? x : std::log(x - lb);	1✔
48	}
49	}

lballabio / QuantLib / 13667868683

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