basisFunction (3) - Linux Manuals

basisFunction: CubicSpline B-splines fitting method.

NAME

QuantLib::CubicBSplinesFitting - CubicSpline B-splines fitting method.

SYNOPSIS

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

Inherits QuantLib::FittedBondDiscountCurve::FittingMethod.

Public Member Functions

CubicBSplinesFitting (const std::vector< Time > &knotVector, bool constrainAtZero=true)

Real basisFunction (Integer i, Time t) const
cubic B-spline basis functions
std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const
clone of the current object

Detailed Description

CubicSpline B-splines fitting method.

Fits a discount function to a set of cubic B-splines $ N_{i,3}(t) $, i.e., [ d(t) = um_{i=0}^{n} c_i * N_{i,3}(t) ]

See: McCulloch, J. 1971, 'Measuring the Term Structure of Interest Rates.' Journal of Business, 44: 19-31

McCulloch, J. 1975, 'The tax adjusted yield curve.' Journal of Finance, XXX811-30

Warning

Examples:

FittedBondCurve.cpp.

Author

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