FixImplQuotAsAvg
Subtype of Global Bootstrap MethodThis method implements the Global Bootstrap by relying on the specification of three sets of data denoted as T, A and B
T contains the target data, as supplied through the key Target Data and contains ρ target instruments T₁, T₂, ..., Tᵨ with specified target quotes q₁, q₂, ..., qᵨ.
The number of target instruments ρ must match the number of extra curve nodes equaling the number of elements of the array entered in Extra Nodes
A contains ρ or less reference instruments A₁, A₂, ..., Aᵨ, as supplied through the key Ref Data
B contains ρ or less reference instruments B₁, B₂, ..., Bᵨ, as supplied through the key Ref2 Data
The curve is constructed so that the target quotes q₁, q₂, ..., qᵨ equal the weighted averages of the implied quotes of the reference instruments.
Formally, the following constraint will hold for each i:
qᵢ = uᵢaᵢ + wᵢbᵢ
where:
aᵢ is the implied quote of the instrument Aᵢ
bᵢ is the implied quote of the instrument Bᵢ
uᵢ and wᵢ are weights that depend on the maturities of the reference instruments Aᵢ and Bᵢ, relative to that of the target instrument Tᵢ
If the number of explicitly supplied reference instruments in any set is less than ρ, the last reference instrument acts as the reference instrument for all non-matched target quotes.
The quotes specified in sets A and B are ignored.