QuantLib_NelsonSiegelFitting man page

NelsonSiegelFitting — Nelson-Siegel fitting method.


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

Inherits FittedBondDiscountCurve::FittingMethod.

Public Member Functions

NelsonSiegelFitting (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

Nelson-Siegel fitting method.

Fits a discount function to the form $ d(t) = \xp^{-r t}, $ where the zero rate $r$ is defined as [ r \quiv c_0 + (c_0 + c_1)*(1 - exp^{-ppa*t}/(ppa t) - c_2 exp^{ - ppa t}. ] See: Nelson, C. and A. Siegel (1985): 'Parsimonious modeling of yield curves for US Treasury bills.' NBER Working Paper Series, no 1594.

Examples: FittedBondCurve.cpp.


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Referenced By

NelsonSiegelFitting(3) is an alias of QuantLib_NelsonSiegelFitting(3).

QuantLib Version 1.8.1 Fri Sep 23 2016