From fa2c321bcb7fb75ff6b0015d703cb867ce0b87d8 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 3 Oct 2024 17:35:41 +0200
Subject: [PATCH] Allow passing optimizer and end criteria to GlobalBootstrap

---
 SWIG/optimizers.i          |  3 +++
 SWIG/piecewiseyieldcurve.i | 32 ++++++++++++++++++++++----------
 2 files changed, 25 insertions(+), 10 deletions(-)

diff --git a/SWIG/optimizers.i b/SWIG/optimizers.i
index ec9ce9d18..90b00f16c 100644
--- a/SWIG/optimizers.i
+++ b/SWIG/optimizers.i
@@ -196,6 +196,7 @@ class EndCriteria {
         StationaryFunctionValue,
         StationaryFunctionAccuracy,
         ZeroGradientNorm,
+        FunctionEpsilonTooSmall,
         Unknown
     };
     EndCriteria(Size maxIteration,
@@ -203,6 +204,8 @@ class EndCriteria {
                 Real rootEpsilon,
                 Real functionEpsilon,
                 Real gradientNormEpsilon);
+
+    static bool succeeded(EndCriteria::Type ecType);
 };
 
 
diff --git a/SWIG/piecewiseyieldcurve.i b/SWIG/piecewiseyieldcurve.i
index f8ff6b0f2..e2d34de18 100644
--- a/SWIG/piecewiseyieldcurve.i
+++ b/SWIG/piecewiseyieldcurve.i
@@ -23,6 +23,7 @@
 %include termstructures.i
 %include ratehelpers.i
 %include interpolation.i
+%include optimizers.i
 %include null.i
 
 // bootstrap traits
@@ -211,21 +212,32 @@ struct _GlobalBootstrap {
     std::vector<ext::shared_ptr<RateHelper> > additionalHelpers;
     std::vector<Date> additionalDates;
     double accuracy;
-    _GlobalBootstrap(double accuracy = Null<double>())
-    : accuracy(accuracy) {}
+    ext::shared_ptr<OptimizationMethod> optimizer;
+    ext::shared_ptr<EndCriteria> endCriteria;
+    _GlobalBootstrap(double accuracy = Null<double>(),
+                     ext::shared_ptr<OptimizationMethod> optimizer = nullptr,
+                     ext::shared_ptr<EndCriteria> endCriteria = nullptr)
+    : accuracy(accuracy), optimizer(optimizer), endCriteria(endCriteria) {}
    _GlobalBootstrap(const std::vector<ext::shared_ptr<RateHelper> >& additionalHelpers,
-                     const std::vector<Date>& additionalDates,
-                     double accuracy = Null<double>())
-    : additionalHelpers(additionalHelpers), additionalDates(additionalDates), accuracy(accuracy) {}
+                    const std::vector<Date>& additionalDates,
+                    double accuracy = Null<double>(),
+                    ext::shared_ptr<OptimizationMethod> optimizer = nullptr,
+                    ext::shared_ptr<EndCriteria> endCriteria = nullptr)
+   : additionalHelpers(additionalHelpers), additionalDates(additionalDates), accuracy(accuracy),
+     optimizer(optimizer), endCriteria(endCriteria) {}
 };
 %}
 
 %rename(GlobalBootstrap) _GlobalBootstrap;
 struct _GlobalBootstrap {
-    _GlobalBootstrap(doubleOrNull accuracy = Null<double>());
+    _GlobalBootstrap(doubleOrNull accuracy = Null<double>(),
+                     ext::shared_ptr<OptimizationMethod> optimizer = nullptr,
+                     ext::shared_ptr<EndCriteria> endCriteria = nullptr);
     _GlobalBootstrap(const std::vector<ext::shared_ptr<RateHelper> >& additionalHelpers,
                      const std::vector<Date>& additionalDates,
-                     doubleOrNull accuracy = Null<double>());
+                     doubleOrNull accuracy = Null<double>(),
+                     ext::shared_ptr<OptimizationMethod> optimizer = nullptr,
+                     ext::shared_ptr<EndCriteria> endCriteria = nullptr);
 };
 
 
@@ -247,14 +259,14 @@ class GlobalLinearSimpleZeroCurve : public YieldTermStructure {
             if (b.additionalHelpers.empty()) {
                 return new GlobalLinearSimpleZeroCurve(
                     referenceDate, instruments, dayCounter, Linear(),
-                    GlobalLinearSimpleZeroCurve::bootstrap_type(b.accuracy));
+                    GlobalLinearSimpleZeroCurve::bootstrap_type(b.accuracy, b.optimizer, b.endCriteria));
             } else {
                 return new GlobalLinearSimpleZeroCurve(
                     referenceDate, instruments, dayCounter, Linear(),
                     GlobalLinearSimpleZeroCurve::bootstrap_type(b.additionalHelpers,
                                                                 AdditionalDates(b.additionalDates),
                                                                 AdditionalErrors(b.additionalHelpers),
-                                                                b.accuracy));
+                                                                b.accuracy, b.optimizer, b.endCriteria));
             }
         }
     }
@@ -266,4 +278,4 @@ class GlobalLinearSimpleZeroCurve : public YieldTermStructure {
 };
 
 
-#endif
\ No newline at end of file
+#endif