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) =