Struct Bootstrap

Source

pub struct Bootstrap {
    pub reference_date: Date,
    pub daycount: Daycount,
    pub config: BootstrapConfig,
}

Expand description

Sequential iterative bootstrap engine.

Constructs a DiscountCurve from a list of Instrument quotes by driving each instrument’s residual to zero against the in-progress curve. See the module-level documentation for the algorithm.

§Examples

use regit_curves::bootstrap::{Bootstrap, BootstrapConfig};
use regit_curves::instruments::{Deposit, Instrument};
use regit_curves::interpolation::Interpolation;
use regit_curves::types::{Date, Daycount};

let reference = Date::from_ymd(2024, 1, 2).unwrap();
let dep1 = Deposit::new(
    reference,
    Date::from_ymd(2024, 4, 2).unwrap(),
    0.05,
    Daycount::Act360,
)
.unwrap();
let dep2 = Deposit::new(
    reference,
    Date::from_ymd(2024, 7, 2).unwrap(),
    0.05,
    Daycount::Act360,
)
.unwrap();
let instruments = [Instrument::Deposit(dep1), Instrument::Deposit(dep2)];

let bootstrap = Bootstrap::new(reference, Daycount::Act360);
let curve = bootstrap
    .build(&instruments, Interpolation::LogLinear)
    .unwrap();
assert_eq!(curve.reference_date(), reference);

Fields§

§reference_date: Date

Curve anchor / reference date.

§daycount: Daycount

Day-count convention for the curve’s t-axis.

§config: BootstrapConfig

Solver configuration.

Implementations§

Source §

impl Bootstrap

Source

pub fn new(reference_date: Date, daycount: Daycount) -> Self

Constructs a bootstrap engine with BootstrapConfig::default.

§Examples

use regit_curves::bootstrap::Bootstrap;
use regit_curves::types::{Date, Daycount};

let reference = Date::from_ymd(2024, 1, 2).unwrap();
let bs = Bootstrap::new(reference, Daycount::Act360);
assert_eq!(bs.reference_date, reference);
assert_eq!(bs.daycount, Daycount::Act360);

Source

pub fn with_config(self, config: BootstrapConfig) -> Self

Returns the bootstrap engine with the supplied configuration.

§Examples

use regit_curves::bootstrap::{Bootstrap, BootstrapConfig};
use regit_curves::types::{Date, Daycount};

let reference = Date::from_ymd(2024, 1, 2).unwrap();
let cfg = BootstrapConfig {
    tolerance: 1e-10,
    ..BootstrapConfig::default()
};
let bs = Bootstrap::new(reference, Daycount::Act360).with_config(cfg);
assert!((bs.config.tolerance - 1e-10).abs() < 1e-18);

Source

pub fn build( &self, instruments: &[Instrument], method: Interpolation, ) -> Result<DiscountCurve, BootstrapError>

Builds a DiscountCurve that re-prices every instrument in instruments to within BootstrapConfig::tolerance.

Instruments must be ordered by Instrument::pillar, strictly increasing. The pillar of every instrument must lie strictly after Bootstrap::reference_date.

§Errors

BootstrapError::InvalidInstrument if instruments is empty, or if any pillar is on or before the reference date.
BootstrapError::NonIncreasingAnchor if pillars are not strictly increasing.
BootstrapError::NoBracket if no sign change can be found in the discount-factor search interval for a leg, even after widening.
BootstrapError::LegDidNotConverge if Brent fails to converge, or if the outer iteration fails to converge within BootstrapConfig::iter_max passes.
BootstrapError::Curve if the final curve construction rejects the bootstrapped knots (should not happen given the validation above).
BootstrapError::Type if a day-count query fails.

§Examples

use regit_curves::bootstrap::Bootstrap;
use regit_curves::instruments::{Deposit, Instrument};
use regit_curves::interpolation::Interpolation;
use regit_curves::types::{Date, Daycount};

let reference = Date::from_ymd(2024, 1, 2).unwrap();
let dep = Deposit::new(
    reference,
    Date::from_ymd(2024, 4, 2).unwrap(),
    0.05,
    Daycount::Act360,
)
.unwrap();
let curve = Bootstrap::new(reference, Daycount::Act360)
    .build(&[Instrument::Deposit(dep)], Interpolation::LogLinear)
    .unwrap();
assert!(curve.discounts().len() == 2);