FixImplQuotAsShift
Subtype of Global Bootstrap MethodThis method implements the Global Bootstrap by relying on the specification of two sets of data denoted as T and A
T contains the target data, as supplied through the key Target Data and contains ρ target instruments T₁, T₂, ..., Tᵨ with specified target numbers δ₁, δ₂, ..., δᵨ that represent differences as described below.
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
The curve is constructed so that the target numbers δ₁, δ₂, ..., δᵨ equal the differences between the implied quotes q₁, q₂, ..., qᵨ of the target instruments and the implied quotes a₁, a₂, ..., aᵨ of the reference instruments.
Formally, the following constraint will hold for each i:
δᵢ = qᵢ - aᵢ
where:
qᵢ is the implied quote of the instrument Tᵢ
aᵢ is the implied quote of the instrument Aᵢ
δᵢ is the specified difference of the quotes pertaining to the two instruments Tᵢ and Aᵢ
If the number of explicitly supplied reference instruments is less than ρ, the last reference instrument acts as the reference instrument for all non-matched target quotes.
The quotes specified in set A are ignored.