add constraint to fittingmethod

lballabio · Jul 18, 2023 · 9c5321e · 9c5321e
1 parent d9e8af7
commit 9c5321e
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Showing 2 changed files with 16 additions and 6 deletions.
diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.cpp b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
@@ -19,7 +19,6 @@
 */
 
 #include <ql/cashflows/cashflows.hpp>
-#include <ql/math/optimization/constraint.hpp>
 #include <ql/math/optimization/costfunction.hpp>
 #include <ql/math/optimization/simplex.hpp>
 #include <ql/pricingengines/bond/bondfunctions.hpp>
@@ -123,10 +122,11 @@ namespace QuantLib {
         ext::shared_ptr<OptimizationMethod> optimizationMethod,
         Array l2,
         const Real minCutoffTime,
-        const Real maxCutoffTime)
+        const Real maxCutoffTime,
+        Constraint constraint)
     : constrainAtZero_(constrainAtZero), weights_(weights), l2_(std::move(l2)),
       calculateWeights_(weights.empty()), optimizationMethod_(std::move(optimizationMethod)),
-      minCutoffTime_(minCutoffTime), maxCutoffTime_(maxCutoffTime) {}
+      minCutoffTime_(minCutoffTime), maxCutoffTime_(maxCutoffTime), constraint_(constraint) {}
 
     void FittedBondDiscountCurve::FittingMethod::init() {
         // yield conventions
@@ -178,7 +178,6 @@ namespace QuantLib {
     void FittedBondDiscountCurve::FittingMethod::calculate() {
 
         FittingCost& costFunction = *costFunction_;
-        Constraint constraint = NoConstraint();
 
         // start with the guess solution, if it exists
         Array x(size(), 0.0);
@@ -210,7 +209,7 @@ namespace QuantLib {
         if(!optimization){
             optimization = ext::make_shared<Simplex>(curve_->simplexLambda_);
         }
-        Problem problem(costFunction, constraint, x);
+        Problem problem(costFunction, constraint_, x);
 
         Real rootEpsilon = curve_->accuracy_;
         Real functionEpsilon =  curve_->accuracy_;

diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.hpp b/ql/termstructures/yield/fittedbonddiscountcurve.hpp
@@ -28,6 +28,7 @@
 
 #include <ql/termstructures/yield/bondhelpers.hpp>
 #include <ql/math/optimization/method.hpp>
+#include <ql/math/optimization/constraint.hpp>
 #include <ql/patterns/lazyobject.hpp>
 #include <ql/math/array.hpp>
 #include <ql/utilities/clone.hpp>
@@ -203,6 +204,8 @@ namespace QuantLib {
         Array l2() const;
         //! return optimization method being used
         ext::shared_ptr<OptimizationMethod> optimizationMethod() const;
+        //! return constraint of the solution being used
+        Constraint constraint() const;
         //! open discountFunction to public
         DiscountFactor discount(const Array& x, Time t) const;
       protected:
@@ -213,7 +216,8 @@ namespace QuantLib {
                           ext::shared_ptr<OptimizationMethod>(),
                       Array l2 = Array(),
                       Real minCutoffTime = 0.0,
-                      Real maxCutoffTime = QL_MAX_REAL);
+                      Real maxCutoffTime = QL_MAX_REAL,
+                      Constraint constraint = NoConstraint{});
         //! rerun every time instruments/referenceDate changes
         virtual void init();
         //! discount function called by FittedBondDiscountCurve
@@ -253,6 +257,8 @@ namespace QuantLib {
         ext::shared_ptr<OptimizationMethod> optimizationMethod_;
         // flat extrapolation of instantaneous forward before / after cutoff
         Real minCutoffTime_, maxCutoffTime_;
+        // constraint for the solution
+        Constraint constraint_;
     };
 
     // inline
@@ -323,6 +329,11 @@ namespace QuantLib {
         return optimizationMethod_;
     }
 
+    inline Constraint
+    FittedBondDiscountCurve::FittingMethod::constraint() const {
+        return constraint_;
+    }
+
     inline DiscountFactor FittedBondDiscountCurve::FittingMethod::discount(const Array& x, Time t) const {
         if (t < minCutoffTime_) {
             // flat fwd extrapolation before min cutoff time