19788019547

Committed 29 Nov 2025 07:01PM UTC coverage: 74.351% (+0.4%) from 73.914%

Build # 19788019547

Build Type

Pull #2344

github

Committed by

web-flow

Commit Message

Merge a91e6dcb0 into 08ef06893

Pull Request Pull Request #2344: add multicurve bootstrap

Run Details

115 of 129 new or added lines in 6 files covered. (89.15%)

413 existing lines in 27 files now uncovered.

57222 of 76962 relevant lines covered (74.35%)

8798481.48 hits per line

Source File
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91.18

/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(RelinkableHandle<YieldTermStructure>& internalHandle,
                         ext::shared_ptr<YieldTermStructure>&& curve) {

        QL_REQUIRE(internalHandle.empty(),
                   "internal handle must be empty; was the curve added already?");

        auto mcProv = ext::dynamic_pointer_cast<MultiCurveBootstrapProvider>(curve);
        QL_REQUIRE(mcProv != nullptr, "curve must not be a MultiCurveBootstrapProvider");

        auto bootstrap = mcProv->multiCurveBootstrapContributor();
        QL_REQUIRE(bootstrap, "curve does not provide a valid multi curve bootstrap contributor");

        multiCurveBootstrap_->add(bootstrap);

        internalHandle.linkTo(ext::shared_ptr<YieldTermStructure>(curve.get(), null_deleter()),
                              false);
        Handle<YieldTermStructure> externalHandle(ext::shared_ptr<YieldTermStructure>(
#ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
            ext::static_pointer_cast<MultiCurve>(shared_from_this())
#else
            shared_from_this()
#endif
                ,
            curve.get()));
        registerWithObservables(curve);
        curves_.push_back(curve);

        return externalHandle;
    }

    Handle<YieldTermStructure>
    MultiCurve::addNonPiecewiseCurve(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>(
#ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
            ext::static_pointer_cast<MultiCurve>(shared_from_this())
#else
            shared_from_this()
#endif
                ,
            curve.get()));
        registerWithObservables(curve);
        curves_.push_back(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(RelinkableHandle<YieldTermStructure>& internalHandle,	3✔
34	ext::shared_ptr<YieldTermStructure>&& curve) {
35
36	QL_REQUIRE(internalHandle.empty(),	3✔
37	"internal handle must be empty; was the curve added already?");
38
39	auto mcProv = ext::dynamic_pointer_cast<MultiCurveBootstrapProvider>(curve);	3✔
40	QL_REQUIRE(mcProv != nullptr, "curve must not be a MultiCurveBootstrapProvider");	3✔
41
42	auto bootstrap = mcProv->multiCurveBootstrapContributor();	3✔
43	QL_REQUIRE(bootstrap, "curve does not provide a valid multi curve bootstrap contributor");	3✔
44
45	multiCurveBootstrap_->add(bootstrap);	3✔
46
47	internalHandle.linkTo(ext::shared_ptr<YieldTermStructure>(curve.get(), null_deleter()),	6✔
48	false);
49	Handle<YieldTermStructure> externalHandle(ext::shared_ptr<YieldTermStructure>(	3✔
50	#ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
51	ext::static_pointer_cast<MultiCurve>(shared_from_this())
52	#else
53	shared_from_this()	3✔
54	#endif
55	,
56	curve.get()));	3✔
57	registerWithObservables(curve);	3✔
58	curves_.push_back(curve);	3✔
59
60	return externalHandle;	3✔
61	}
62
63	Handle<YieldTermStructure>
64	MultiCurve::addNonPiecewiseCurve(RelinkableHandle<YieldTermStructure>& internalHandle,	1✔
65	ext::shared_ptr<YieldTermStructure>&& curve) {
66	QL_REQUIRE(internalHandle.empty(),	1✔
67	"internal handle must be empty; was the curve added already?");
68	QL_REQUIRE(curve != nullptr, "curve must not be null");	1✔
69
70	multiCurveBootstrap_->addObserver(curve.get());	1✔
71
72	internalHandle.linkTo(ext::shared_ptr<YieldTermStructure>(curve.get(), null_deleter()),	2✔
73	false);
74	Handle<YieldTermStructure> externalHandle(ext::shared_ptr<YieldTermStructure>(	1✔
75	#ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
76	ext::static_pointer_cast<MultiCurve>(shared_from_this())
77	#else
78	shared_from_this()	1✔
79	#endif
80	,
81	curve.get()));	1✔
82	registerWithObservables(curve);	1✔
83	curves_.push_back(curve);	1✔
84
85	return externalHandle;	1✔
86	}
87
88	void MultiCurve::update() {	2✔
89	for (auto const& c : curves_)	4✔
90	c->update();	2✔
91	}	2✔
92
93	}

lballabio / QuantLib / 19788019547

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