QuantLib_ExponentialSplinesFitting man page

ExponentialSplinesFitting — Exponential-splines fitting method.  


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

Inherits FittedBondDiscountCurve::FittingMethod.

Public Member Functions

ExponentialSplinesFitting (bool constrainAtZero=true, const Array &weights=Array(), boost::shared_ptr< OptimizationMethod > optimizationMethod=boost::shared_ptr< OptimizationMethod >())
std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const
clone of the current object

Additional Inherited Members

Detailed Description

Exponential-splines fitting method.

Fits a discount function to the exponential form [ d(t) = sum_{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


convergence may be slow

Examples: FittedBondCurve.cpp.


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Referenced By

The man page ExponentialSplinesFitting(3) is an alias of QuantLib_ExponentialSplinesFitting(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib