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