QuantLib_FittedBondDiscountCurve man page

FittedBondDiscountCurve — Discount curve fitted to a set of fixed-coupon bonds.

Synopsis

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

Inherits YieldTermStructure, and LazyObject.

Classes

class FittingMethod
Base fitting method used to construct a fitted bond discount curve.

Public Member Functions

Constructors

FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< BondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0, Size maxStationaryStateIterations=100)
reference date based on current evaluation date
FittedBondDiscountCurve (const Date &referenceDate, const std::vector< boost::shared_ptr< BondHelper > > &bonds, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size maxEvaluations=10000, const Array &guess=Array(), Real simplexLambda=1.0, Size maxStationaryStateIterations=100)
curve reference date fixed for life of curve

Inspectors

Size numberOfBonds () const
total number of bonds used to fit the yield curve
Date maxDate () const
the latest date for which the curve can return values
const FittingMethod & fitResults () const
class holding the results of the fit

Observer interface

void update ()

Friends

class FittingMethod

Additional Inherited Members

Detailed Description

Discount curve fitted to a set of fixed-coupon bonds.

This class fits a discount function $ d(t) $ over a set of bonds, using a user defined fitting method. The discount function is fit in such a way so that all cashflows of all input bonds, when discounted using $ d(t) $, will reproduce the set of input bond prices in an optimized sense. Minimized price errors are weighted by the inverse of their respective bond duration.

The FittedBondDiscountCurve class acts as a generic wrapper, while its inner class FittingMethod provides the implementation details. Developers thus need only derive new fitting methods from the latter.

Example: compares various bond discount curve fitting methodologies

Warning

The method can be slow if there are many bonds to fit. Speed also depends on the particular choice of fitting method chosen and its convergence properties under optimization. See also todo list for BondDiscountCurveFittingMethod.

Examples: FittedBondCurve.cpp.

Member Function Documentation

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

fitResults(3), FittedBondDiscountCurve(3), FittingMethod(3) and numberOfBonds(3) are aliases of QuantLib_FittedBondDiscountCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib