ExponentialSplinesFitting (3) - Linux Manuals

ExponentialSplinesFitting: Exponential-splines fitting method.

NAME

QuantLib::ExponentialSplinesFitting - Exponential-splines fitting method.

SYNOPSIS

#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>

Inherits QuantLib::FittedBondDiscountCurve::FittingMethod.

Public Member Functions

ExponentialSplinesFitting (bool constrainAtZero=true)

std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const
clone of the current object

Detailed Description

Exponential-splines fitting method.

Fits a discount function to the exponential form [ d(t) = um_{i=1}^9 c_i \xp^{-kappa i t} ] where the constants $ c_i $ and $ ppa $ are to be determined. See:Li, B., E. DeWetering, G. Lucas, R. Brenner and A. Shapiro (2001): 'Merrill Lynch Exponential Spline Model.' Merrill Lynch Working Paper

Warning

convergence may be slow

Examples:

FittedBondCurve.cpp.

Author

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