ExponentialSplinesFitting (3) Linux Manual Page
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.