add multicurve bootstrap

QuantLib.vcxproj

@@ -1698,6 +1698,7 @@
     <ClInclude Include="ql\termstructures\defaulttermstructure.hpp" />
     <ClInclude Include="ql\termstructures\globalbootstrap.hpp" />
     <ClInclude Include="ql\termstructures\globalbootstrapvars.hpp" />
+    <ClInclude Include="ql\termstructures\multicurve.hpp" />
     <ClInclude Include="ql\termstructures\inflation\all.hpp" />
     <ClInclude Include="ql\termstructures\inflation\inflationhelpers.hpp" />
     <ClInclude Include="ql\termstructures\inflation\inflationtraits.hpp" />
@@ -2736,7 +2737,9 @@
     <ClCompile Include="ql\termstructures\credit\hazardratestructure.cpp" />
     <ClCompile Include="ql\termstructures\credit\survivalprobabilitystructure.cpp" />
     <ClCompile Include="ql\termstructures\defaulttermstructure.cpp" />
+    <ClCompile Include="ql\termstructures\globalbootstrap.cpp" />
     <ClCompile Include="ql\termstructures\globalbootstrapvars.cpp" />
+    <ClCompile Include="ql\termstructures\multicurve.cpp" />
     <ClCompile Include="ql\termstructures\inflation\inflationhelpers.cpp" />
     <ClCompile Include="ql\termstructures\inflation\seasonality.cpp" />
     <ClCompile Include="ql\termstructures\inflationtermstructure.cpp" />
@@ -2891,4 +2894,4 @@
   <Import Project=".\Build.props" Condition="Exists('.\Build.props')" />
   <ImportGroup Label="ExtensionTargets">
   </ImportGroup>
-</Project>
+</Project>

QuantLib.vcxproj.filters

@@ -1974,6 +1974,9 @@
     <ClInclude Include="ql\termstructures\localbootstrap.hpp">
       <Filter>termstructures</Filter>
     </ClInclude>
+    <ClInclude Include="ql\termstructures\multicurve.hpp">
+      <Filter>termstructures</Filter>
+    </ClInclude>
     <ClInclude Include="ql\termstructures\voltermstructure.hpp">
       <Filter>termstructures</Filter>
     </ClInclude>
@@ -5537,12 +5540,18 @@
     <ClCompile Include="ql\termstructures\defaulttermstructure.cpp">
       <Filter>termstructures</Filter>
     </ClCompile>
+    <ClCompile Include="ql\termstructures\globalbootstrap.cpp">
+      <Filter>termstructures</Filter>
+    </ClCompile>
     <ClCompile Include="ql\termstructures\globalbootstrapvars.cpp">
       <Filter>termstructures</Filter>
     </ClCompile>
     <ClCompile Include="ql\termstructures\inflationtermstructure.cpp">
       <Filter>termstructures</Filter>
     </ClCompile>
+    <ClCompile Include="ql\termstructures\multicurve.cpp">
+      <Filter>termstructures</Filter>
+    </ClCompile>
     <ClCompile Include="ql\termstructures\voltermstructure.cpp">
       <Filter>termstructures</Filter>
     </ClCompile>
@@ -7346,4 +7355,4 @@
       <Filter>pricingengines</Filter>
     </ClCompile>
   </ItemGroup>
-</Project>
+</Project>

ql/CMakeLists.txt

@@ -818,7 +818,9 @@ set(QL_SOURCES
     termstructures/credit/hazardratestructure.cpp
     termstructures/credit/survivalprobabilitystructure.cpp
     termstructures/defaulttermstructure.cpp
+    termstructures/globalbootstrap.cpp
     termstructures/globalbootstrapvars.cpp
+    termstructures/multicurve.cpp
     termstructures/inflation/inflationhelpers.cpp
     termstructures/inflation/seasonality.cpp
     termstructures/inflationtermstructure.cpp
@@ -2078,6 +2080,7 @@ set(QL_HEADERS
     termstructures/defaulttermstructure.hpp
     termstructures/globalbootstrap.hpp
     termstructures/globalbootstrapvars.hpp
+    termstructures/multicurve.hpp
     termstructures/inflation/inflationhelpers.hpp
     termstructures/inflation/inflationtraits.hpp
     termstructures/inflation/interpolatedyoyinflationcurve.hpp

ql/patterns/lazyobject.hpp

@@ -42,6 +42,8 @@ namespace QuantLib {
         //@}
         /*! Returns true if the instrument is calculated */
         bool isCalculated() const;
+        /*! Set calculated status */
+        void setCalculated(const bool c) const;
         /*! \name Calculations
             These methods do not modify the structure of the object
             and are therefore declared as <tt>const</tt>. Data members
@@ -266,6 +268,10 @@ namespace QuantLib {
     inline bool LazyObject::isCalculated() const {
         return calculated_;
     }
+
+    inline void LazyObject::setCalculated(const bool c) const {
+        calculated_ = c;
+    }
 }
 
 #endif

ql/termstructures/Makefile.am

@@ -15,13 +15,16 @@ this_include_HEADERS = \
 	interpolatedcurve.hpp \
 	iterativebootstrap.hpp \
 	localbootstrap.hpp \
+	multicurve.hpp \
 	voltermstructure.hpp \
 	yieldtermstructure.hpp
 
 cpp_files = \
 	defaulttermstructure.cpp \
+	globalbootstrap.cpp \
 	globalbootstrapvars.cpp \
 	inflationtermstructure.cpp \
+	multicurve.cpp \
 	voltermstructure.cpp \
 	yieldtermstructure.cpp
 

ql/termstructures/globalbootstrap.cpp

@@ -0,0 +1,117 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2019 SoftSolutions! S.r.l.
+ 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
+ <[email protected]>. 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/math/optimization/levenbergmarquardt.hpp>
+#include <ql/termstructures/globalbootstrap.hpp>
+
+namespace QuantLib {
+
+MultiCurveBootstrap::MultiCurveBootstrap(Real accuracy) {
+    optimizer_ = ext::make_shared<LevenbergMarquardt>(accuracy, accuracy, accuracy);
+    endCriteria_ = ext::make_shared<EndCriteria>(1000, 10, accuracy, accuracy, accuracy);
+}
+
+MultiCurveBootstrap::MultiCurveBootstrap(ext::shared_ptr<OptimizationMethod> optimizer,
+                                         ext::shared_ptr<EndCriteria> endCriteria)
+: optimizer_(std::move(optimizer)), endCriteria_(std::move(endCriteria)) {
+    constexpr Real accuracy = 1E-10;
+    if (optimizer_ == nullptr)
+        optimizer_ = ext::make_shared<LevenbergMarquardt>(accuracy, accuracy, accuracy);
+    if (endCriteria_ == nullptr)
+        endCriteria_ = ext::make_shared<EndCriteria>(1000, 10, accuracy, accuracy, accuracy);
+}
+
+void MultiCurveBootstrap::add(const MultiCurveBootstrapContributor* c) {
+    contributors_.push_back(c);
+    c->setParentBootstrapper(shared_from_this());
+}
+
+void MultiCurveBootstrap::addObserver(Observer* o) {
+    observers_.push_back(o);
+}
+
+void MultiCurveBootstrap::runMultiCurveBootstrap() {
+
+    std::vector<Size> guessSizes;
+    std::vector<Real> globalGuess;
+
+    for (auto const& c : contributors_) {
+        Array guess = c->setupCostFunction();
+        globalGuess.insert(globalGuess.end(), guess.begin(), guess.end());
+        guessSizes.push_back(guess.size());
+    }
+
+    auto fn = [this, &guessSizes](const Array& x) {
+        // call the contributors' cost functions' set part
+
+        std::size_t offset = 0;
+        for (std::size_t c = 0; c < contributors_.size(); ++c) {
+            Array tmp(guessSizes[c]);
+            std::copy(std::next(x.begin(), offset), std::next(x.begin(), offset + guessSizes[c]),
+                      tmp.begin());
+            offset += guessSizes[c];
+            contributors_[c]->setCostFunctionArgument(tmp);
+        }
+
+        // update observers
+        for(auto o: observers_)
+            o->update();
+
+        // collect the contributors' result
+
+        std::vector<Array> results;
+        for (std::size_t c = 0; c < contributors_.size(); ++c) {
+            results.push_back(contributors_[c]->evaluateCostFunction());
+        }
+
+        // concatenate the contributors' values and return the concatenation as the result
+
+        std::size_t resultSize =
+            std::accumulate(results.begin(), results.end(), 0,
+                            [](std::size_t len, const Array& a) { return len + a.size(); });
+
+        Array result(resultSize);
+
+        offset = 0;
+        for (auto const& r : results) {
+            std::copy(r.begin(), r.end(), std::next(result.begin(), offset));
+            offset += r.size();
+        }
+
+        return result;
+    };
+
+    SimpleCostFunction<decltype(fn)> costFunction(fn);
+    NoConstraint noConstraint;
+    Problem problem(costFunction, noConstraint, Array(globalGuess.begin(), globalGuess.end()));
+    EndCriteria::Type endType = optimizer_->minimize(problem, *endCriteria_);
+
+    QL_REQUIRE(
+        EndCriteria::succeeded(endType),
+        "global bootstrap failed to minimize to required accuracy (during multi curve bootstrap): "
+            << endType);
+
+    // set all contributors to valid
+
+    for (auto const& c : contributors_)
+        c->setToValid();
+}
+
+} // namespace QuantLib