QuantLib_NelsonSiegelFitting (3) Linux Manual Page

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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