Merge 003d083 into 3f21536

lballabio · Aug 11, 2020 · 3b938bd · 3b938bd
2 parents 3f21536 + 003d083
commit 3b938bd
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Showing 5 changed files with 12 additions and 11 deletions.
diff --git a/ql/math/interpolations/xabrinterpolation.hpp b/ql/math/interpolations/xabrinterpolation.hpp
@@ -137,8 +137,8 @@ class XABRInterpolationImpl : public Interpolation::templateImpl<I1, I2>,
 
         // we must update weights if it is vegaWeighted
         if (vegaWeighted_) {
-            std::vector<Real>::const_iterator x = this->xBegin_;
-            std::vector<Real>::const_iterator y = this->yBegin_;
+            I1 x = this->xBegin_;
+            I2 y = this->yBegin_;
             // std::vector<Real>::iterator w = weights_.begin();
             this->weights_.clear();
             Real weightsSum = 0.0;
@@ -244,8 +244,8 @@ class XABRInterpolationImpl : public Interpolation::templateImpl<I1, I2>,
     // calculate total squared weighted difference (L2 norm)
     Real interpolationSquaredError() const {
         Real error, totalError = 0.0;
-        std::vector<Real>::const_iterator x = this->xBegin_;
-        std::vector<Real>::const_iterator y = this->yBegin_;
+        I1 x = this->xBegin_;
+        I2 y = this->yBegin_;
         std::vector<Real>::const_iterator w = this->weights_.begin();
         for (; x != this->xEnd_; ++x, ++y, ++w) {
             error = (value(*x) - *y);
@@ -257,9 +257,9 @@ class XABRInterpolationImpl : public Interpolation::templateImpl<I1, I2>,
     // calculate weighted differences
     Disposable<Array> interpolationErrors() const {
         Array results(this->xEnd_ - this->xBegin_);
-        std::vector<Real>::const_iterator x = this->xBegin_;
+        I1 x = this->xBegin_;
         Array::iterator r = results.begin();
-        std::vector<Real>::const_iterator y = this->yBegin_;
+        I2 y = this->yBegin_;
         std::vector<Real>::const_iterator w = this->weights_.begin();
         for (; x != this->xEnd_; ++x, ++r, ++w, ++y) {
             *r = (value(*x) - *y) * std::sqrt(*w);

diff --git a/ql/math/optimization/simplex.hpp b/ql/math/optimization/simplex.hpp
@@ -61,6 +61,8 @@ namespace QuantLib {
         Simplex(Real lambda) : lambda_(lambda) {}
         virtual EndCriteria::Type minimize(Problem& P,
                                            const EndCriteria& endCriteria);
+        Real lambda() const { return lambda_; }
+
       private:
         Real extrapolate(Problem& P,
                          Size iHighest,

diff --git a/ql/pricingengines/inflation/inflationcapfloorengines.hpp b/ql/pricingengines/inflation/inflationcapfloorengines.hpp
@@ -49,6 +49,7 @@ namespace QuantLib {
 
         ext::shared_ptr<YoYInflationIndex> index() const { return index_;}
         Handle<YoYOptionletVolatilitySurface> volatility() const { return volatility_; }
+        Handle<YieldTermStructure> nominalTermStructure() const { return nominalTermStructure_; }
 
         void setVolatility(const Handle<YoYOptionletVolatilitySurface>& vol);
 

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
@@ -215,6 +215,7 @@ namespace detail {
             // because, e.g., of interpolation's early checks
             ts_->data_ = std::vector<Real>(alive_+1, Traits::initialValue(ts_));
             previousData_.resize(alive_+1);
+            validCurve_ = false;
         }
         initialized_ = true;
     }

diff --git a/ql/timegrid.hpp b/ql/timegrid.hpp
@@ -120,12 +120,9 @@ namespace QuantLib {
                                                    ++t) {
                 Time periodEnd = *t;
                 if (periodEnd != 0.0) {
-                    // the nearest integer
-                    Size nSteps = Size((periodEnd - periodBegin)/dtMax+0.5);
-                    // at least one time step!
-                    nSteps = (nSteps!=0 ? nSteps : 1);
+                    // the nearest integer, at least 1
+                    Size nSteps = std::max(Size((periodEnd - periodBegin)/dtMax+0.5), Size(1));
                     Time dt = (periodEnd - periodBegin)/nSteps;
-                    times_.reserve(nSteps);
                     for (Size n=1; n<=nSteps; ++n)
                         times_.push_back(periodBegin + n*dt);
                 }