19783858710

Committed 29 Nov 2025 12:27PM UTC coverage: 74.349% (+0.4%) from 73.914%

Build # 19783858710

Build Type

Pull #2344

github

Committed by

web-flow

Commit Message

Merge 04019bd61 into 08ef06893

Pull Request Pull Request #2344: add multicurve bootstrap

Run Details

107 of 120 new or added lines in 6 files covered. (89.17%)

413 existing lines in 27 files now uncovered.

57214 of 76953 relevant lines covered (74.35%)

8802593.09 hits per line

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88.89

/ql/termstructures/multicurve.cpp

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

/*
 Copyright (C) 2025 Eugene Toder
 Copyright (C) 2025 Peter Caspers

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#include <ql/termstructures/multicurve.hpp>

namespace QuantLib {

    MultiCurve::MultiCurve(Real accuracy)
    : multiCurveBootstrap_(ext::make_shared<MultiCurveBootstrap>(accuracy)) {}

    MultiCurve::MultiCurve(ext::shared_ptr<OptimizationMethod> optimizer,
                           ext::shared_ptr<EndCriteria> endCriteria)
    : multiCurveBootstrap_(ext::make_shared<MultiCurveBootstrap>(optimizer, endCriteria)) {}

    Handle<YieldTermStructure>
    MultiCurve::addCurve(ext::shared_ptr<MultiCurve> multiCurve,
                         RelinkableHandle<YieldTermStructure>& internalHandle,
                         ext::shared_ptr<YieldTermStructure> curve,
                         MultiCurveBootstrapContributor* bootstrap) {

        QL_REQUIRE(internalHandle.empty(),
                   "internal handle must be empty; was the curve added already?");
        QL_REQUIRE(curve != nullptr, "curve must not be null");

        multiCurveBootstrap_->add(bootstrap);

        internalHandle.linkTo(ext::shared_ptr<YieldTermStructure>(curve.get(), null_deleter()),
                              false);
        Handle<YieldTermStructure> externalHandle(
            ext::shared_ptr<YieldTermStructure>(multiCurve, curve.get()));
        registerWithObservables(curve);
        curves_.push_back(std::move(curve));

        return externalHandle;
    }

    Handle<YieldTermStructure>
    MultiCurve::addNonPiecewiseCurve(ext::shared_ptr<MultiCurve> multiCurve,
                         RelinkableHandle<YieldTermStructure>& internalHandle,
                         ext::shared_ptr<YieldTermStructure> curve) {
        QL_REQUIRE(internalHandle.empty(),
                   "internal handle must be empty; was the curve added already?");
        QL_REQUIRE(curve != nullptr, "curve must not be null");

        multiCurveBootstrap_->addObserver(curve.get());

        internalHandle.linkTo(ext::shared_ptr<YieldTermStructure>(curve.get(), null_deleter()),
                              false);
        Handle<YieldTermStructure> externalHandle(
            ext::shared_ptr<YieldTermStructure>(multiCurve, curve.get()));
        registerWithObservables(curve);
        curves_.push_back(std::move(curve));

        return externalHandle;
    }

    void MultiCurve::update() {
        for (auto const& c : curves_)
            c->update();
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2025 Eugene Toder
5	Copyright (C) 2025 Peter Caspers
6
7	This file is part of QuantLib, a free-software/open-source library
8	for financial quantitative analysts and developers - http://quantlib.org/
9
10	QuantLib is free software: you can redistribute it and/or modify it
11	under the terms of the QuantLib license. You should have received a
12	copy of the license along with this program; if not, please email
13	<quantlib-dev@lists.sf.net>. The license is also available online at
14	<http://quantlib.org/license.shtml>.
15
16	This program is distributed in the hope that it will be useful, but WITHOUT
17	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18	FOR A PARTICULAR PURPOSE. See the license for more details.
19	*/
20
21	#include <ql/termstructures/multicurve.hpp>
22
23	namespace QuantLib {
24
25	MultiCurve::MultiCurve(Real accuracy)	2✔
26	: multiCurveBootstrap_(ext::make_shared<MultiCurveBootstrap>(accuracy)) {}	2✔
27
NEW 28	MultiCurve::MultiCurve(ext::shared_ptr<OptimizationMethod> optimizer,	×
NEW 29	ext::shared_ptr<EndCriteria> endCriteria)	×
NEW 30	: multiCurveBootstrap_(ext::make_shared<MultiCurveBootstrap>(optimizer, endCriteria)) {}	×
31
32	Handle<YieldTermStructure>
33	MultiCurve::addCurve(ext::shared_ptr<MultiCurve> multiCurve,	3✔
34	RelinkableHandle<YieldTermStructure>& internalHandle,
35	ext::shared_ptr<YieldTermStructure> curve,
36	MultiCurveBootstrapContributor* bootstrap) {
37
38	QL_REQUIRE(internalHandle.empty(),	3✔
39	"internal handle must be empty; was the curve added already?");
40	QL_REQUIRE(curve != nullptr, "curve must not be null");	3✔
41
42	multiCurveBootstrap_->add(bootstrap);	3✔
43
44	internalHandle.linkTo(ext::shared_ptr<YieldTermStructure>(curve.get(), null_deleter()),	6✔
45	false);
46	Handle<YieldTermStructure> externalHandle(
47	ext::shared_ptr<YieldTermStructure>(multiCurve, curve.get()));	3✔
48	registerWithObservables(curve);	3✔
49	curves_.push_back(std::move(curve));	3✔
50
51	return externalHandle;	3✔
52	}
53
54	Handle<YieldTermStructure>
55	MultiCurve::addNonPiecewiseCurve(ext::shared_ptr<MultiCurve> multiCurve,	1✔
56	RelinkableHandle<YieldTermStructure>& internalHandle,
57	ext::shared_ptr<YieldTermStructure> curve) {
58	QL_REQUIRE(internalHandle.empty(),	1✔
59	"internal handle must be empty; was the curve added already?");
60	QL_REQUIRE(curve != nullptr, "curve must not be null");	1✔
61
62	multiCurveBootstrap_->addObserver(curve.get());	1✔
63
64	internalHandle.linkTo(ext::shared_ptr<YieldTermStructure>(curve.get(), null_deleter()),	2✔
65	false);
66	Handle<YieldTermStructure> externalHandle(
67	ext::shared_ptr<YieldTermStructure>(multiCurve, curve.get()));	1✔
68	registerWithObservables(curve);	1✔
69	curves_.push_back(std::move(curve));	1✔
70
71	return externalHandle;	1✔
72	}
73
74	void MultiCurve::update() {	2✔
75	for (auto const& c : curves_)	4✔
76	c->update();	2✔
77	}	2✔
78
79	}

lballabio / QuantLib / 19783858710

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