Merge pull request #984.

Add errorCode_ member variable to FittingMethod.
lballabio · Jan 22, 2021 · 3377d6d · 3377d6d
2 parents 97a3c7e + 238eb6c
commit 3377d6d
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Showing 3 changed files with 17 additions and 5 deletions.
diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.cpp b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
@@ -63,7 +63,6 @@ namespace QuantLib {
       guessSolution_(guess),
       bondHelpers_(bondHelpers),
       fittingMethod_(fittingMethod) {
-
         fittingMethod_->curve_ = this;
         setup();
     }
@@ -132,7 +131,8 @@ namespace QuantLib {
         const Real minCutoffTime,
         const Real maxCutoffTime)
     : constrainAtZero_(constrainAtZero), weights_(weights), l2_(l2),
-      calculateWeights_(weights.empty()), optimizationMethod_(optimizationMethod),
+      calculateWeights_(weights.empty()), errorCode_(EndCriteria::None),
+      optimizationMethod_(optimizationMethod),
       minCutoffTime_(minCutoffTime), maxCutoffTime_(maxCutoffTime) {}
 
     void FittedBondDiscountCurve::FittingMethod::init() {
@@ -207,6 +207,7 @@ namespace QuantLib {
 
             numberOfIterations_ = 0;
             costValue_ = costFunction.value(solution_);
+            errorCode_ = EndCriteria::None;
 
             return;
         }
@@ -228,7 +229,7 @@ namespace QuantLib {
                                 functionEpsilon,
                                 gradientNormEpsilon);
 
-        optimization->minimize(problem,endCriteria);
+        errorCode_ = optimization->minimize(problem,endCriteria);
         solution_ = problem.currentValue();
 
         numberOfIterations_ = problem.functionEvaluation();

diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.hpp b/ql/termstructures/yield/fittedbonddiscountcurve.hpp
@@ -194,6 +194,8 @@ namespace QuantLib {
         Integer numberOfIterations() const;
         //! final value of cost function after optimization
         Real minimumCostValue() const;
+        //! error code of the optimization
+        EndCriteria::Type errorCode() const;
         //! clone of the current object
         #if defined(QL_USE_STD_UNIQUE_PTR)
         virtual std::unique_ptr<FittingMethod> clone() const = 0;
@@ -252,6 +254,8 @@ namespace QuantLib {
         Integer numberOfIterations_;
         // final value for the minimized cost function
         Real costValue_;
+        // error code returned by OptimizationMethod::minimize()
+        EndCriteria::Type errorCode_;
         // optimization method to be used, if none provided use Simplex
         ext::shared_ptr<OptimizationMethod> optimizationMethod_;
         // flat extrapolation of instantaneous forward before / after cutoff
@@ -300,6 +304,11 @@ namespace QuantLib {
         return costValue_;
     }
 
+    inline 
+    EndCriteria::Type FittedBondDiscountCurve::FittingMethod::errorCode() const {
+        return errorCode_;
+    }
+
     inline Array FittedBondDiscountCurve::FittingMethod::solution() const {
         return solution_;
     }

diff --git a/test-suite/fittedbonddiscountcurve.cpp b/test-suite/fittedbonddiscountcurve.cpp
@@ -157,6 +157,8 @@ void FittedBondDiscountCurveTest::testFlatExtrapolation() {
         bonds[i]->setPricingEngine(engine2);
         modelPrices2.push_back(bonds[i]->cleanPrice());
     }
+    BOOST_CHECK_EQUAL(curve1->fitResults().errorCode(), EndCriteria::MaxIterations);
+    BOOST_CHECK_EQUAL(curve2->fitResults().errorCode(), EndCriteria::MaxIterations);
 
     // the resulting cost values are similar for both approaches
     // i.e. the fit has a similar quality, I get for example:
@@ -184,15 +186,15 @@ void FittedBondDiscountCurveTest::testFlatExtrapolation() {
     for (Size i = 0; i < helpers.size(); ++i) {
         Real t = curve1->timeFromReference(helpers[i]->bond()->maturityDate());
         // Real marketYield = bonds[i]->yield(quotes[i], Actual365Fixed(), Continuous, NoFrequency);
-        // Real modelYield1 =
-            bonds[i]->yield(modelPrices1[i], Actual365Fixed(), Continuous, NoFrequency);
+        // Real modelYield1 = bonds[i]->yield(modelPrices1[i], Actual365Fixed(), Continuous, NoFrequency);
         Real modelYield2 =
             bonds[i]->yield(modelPrices2[i], Actual365Fixed(), Continuous, NoFrequency);
         // Real curveYield1 = curve1->zeroRate(t, Continuous).rate();
         Real curveYield2 = curve2->zeroRate(t, Continuous).rate();
 
         BOOST_CHECK_CLOSE(modelYield2, curveYield2, 1.0); // 1.0 percent relative tolerance
     }
+
 }