QuantLib - Different first and non-first solvers for IterativeBootstrap

Different first and non-first solvers for IterativeBootstrap

Posted by igitur on Mar 22, 2017; 11:19am
URL: http://quantlib.414.s1.nabble.com/Different-first-and-non-first-solvers-for-IterativeBootstrap-tp18151.html

Hi,

I noticed that in iterativebootstrap.hpp there are 2 solvers defined. Brent , which is used when an existing curve has not been bootstrapped and FiniteDifferenceNewtonSafe, for when an existing curve is updated.

I was just wondering why the use of 2 solvers. Is it purely for performance reasons? Does the FiniteDifferenceNewtonSafe solver perform better than Brent when a curve already exists? Or are there other reasons?

thanks a lot

Francois Botha

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