FittedBondDiscountCurve: allow constraints

[klin333]

Hi,

It appears previous efforts (#982) to allow constraints in FittedBondDiscountCurve did not reach the finish line. Any chance we can resurrect the effort? No worries it causes too much trouble, as I can just override QuantLib in my uses.

Note that i have poor c++ capabilities and poor OOP design knowledge. This diff is just for illustrative purposes.

diff --git a/src/fittedbonddiscountcurve.cpp b/src/fittedbonddiscountcurve.cpp
index 9a14cfa..123a853 100644
--- a/src/fittedbonddiscountcurve.cpp
+++ b/src/fittedbonddiscountcurve.cpp
@@ -129,9 +129,11 @@ namespace QuantLibOvrd {
         ext::shared_ptr<OptimizationMethod> optimizationMethod,
         Array l2,
         const Real minCutoffTime,
-        const Real maxCutoffTime)
+        const Real maxCutoffTime,
+        ext::shared_ptr<Constraint> constraint)
     : constrainAtZero_(constrainAtZero), weights_(weights), l2_(std::move(l2)),
       calculateWeights_(weights.empty()), optimizationMethod_(std::move(optimizationMethod)),
+      constraint_(std::move(constraint)),
       minCutoffTime_(minCutoffTime), maxCutoffTime_(maxCutoffTime) {}

     void FittedBondDiscountCurve::FittingMethod::init() {
@@ -184,7 +186,6 @@ namespace QuantLibOvrd {
     void FittedBondDiscountCurve::FittingMethod::calculate() {

         FittingCost& costFunction = *costFunction_;
-        Constraint constraint = NoConstraint();

         // start with the guess solution, if it exists
         Array x(size(), 0.0);
@@ -216,7 +217,7 @@ namespace QuantLibOvrd {
         if(!optimization){
             optimization = ext::make_shared<Simplex>(curve_->simplexLambda_);
         }
-        Problem problem(costFunction, constraint, x);
+        Problem problem(costFunction, *constraint_, x);

         Real rootEpsilon = curve_->accuracy_;
         Real functionEpsilon =  curve_->accuracy_;
diff --git a/src/fittedbonddiscountcurve.hpp b/src/fittedbonddiscountcurve.hpp
index 6d0eb7c..835e8ce 100644
--- a/src/fittedbonddiscountcurve.hpp
+++ b/src/fittedbonddiscountcurve.hpp
@@ -31,6 +31,7 @@
 #include <ql/patterns/lazyobject.hpp>
 #include <ql/math/array.hpp>
 #include <ql/utilities/clone.hpp>
+#include <ql/math/optimization/constraint.hpp>

 using namespace QuantLib;

@@ -207,6 +208,8 @@ namespace QuantLibOvrd {
         Array l2() const;
         //! return optimization method being used
         ext::shared_ptr<OptimizationMethod> optimizationMethod() const;
+        //! return optimization contraint
+        ext::shared_ptr<Constraint> constraint() const;
         //! open discountFunction to public
         DiscountFactor discount(const Array& x, Time t) const;
       protected:
@@ -217,7 +220,8 @@ namespace QuantLibOvrd {
                           ext::shared_ptr<OptimizationMethod>(),
                       Array l2 = Array(),
                       Real minCutoffTime = 0.0,
-                      Real maxCutoffTime = QL_MAX_REAL);
+                      Real maxCutoffTime = QL_MAX_REAL,
+                      ext::shared_ptr<Constraint> constraint = ext::shared_ptr<NoConstraint>());
         //! rerun every time instruments/referenceDate changes
         virtual void init();
         //! discount function called by FittedBondDiscountCurve
@@ -255,6 +259,8 @@ namespace QuantLibOvrd {
         EndCriteria::Type errorCode_ = EndCriteria::None;
         // optimization method to be used, if none provided use Simplex
         ext::shared_ptr<OptimizationMethod> optimizationMethod_;
+        // optimization constraint, if none provided use NoConstraint
+        ext::shared_ptr<Constraint> constraint_;
         // flat extrapolation of instantaneous forward before / after cutoff
         Real minCutoffTime_, maxCutoffTime_;
     };
@@ -327,6 +333,11 @@ namespace QuantLibOvrd {
         return optimizationMethod_;
     }

+    inline ext::shared_ptr<Constraint>
+      FittedBondDiscountCurve::FittingMethod::constraint() const {
+        return constraint_;
+      }
+
     inline DiscountFactor FittedBondDiscountCurve::FittingMethod::discount(const Array& x, Time t) const {
         if (t < minCutoffTime_) {
             // flat fwd extrapolation before min cutoff time

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