QuantLib_NelsonSiegelFitting (3) - Linux Manuals
QuantLib_NelsonSiegelFitting: Nelson-Siegel fitting method.
NAME
QuantLib::NelsonSiegelFitting - Nelson-Siegel fitting method.
SYNOPSIS
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
Inherits QuantLib::FittedBondDiscountCurve::FittingMethod.
Public Member Functions
std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const
clone of the current object
Detailed Description
Nelson-Siegel fitting method.
Fits a discount function to the form $ d(t) = \xp^{-r t}, $ where the zero rate $r$ is defined as [ r \quiv c_0 + (c_0 + c_1)*(1 - exp^{-ppa*t}/(ppa t) - c_2 exp^{ - ppa t}. ] See: Nelson, C. and A. Siegel (1985): 'Parsimonious modeling of yield curves for US Treasury bills.' NBER Working Paper Series, no 1594.
Examples:
FittedBondCurve.cpp.
Author
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