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 >(), const Array &l2=Array())
NelsonSiegelFitting (const Array &weights, const Array &l2)
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_1 + c_2)*(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

The man page NelsonSiegelFitting(3) is an alias of QuantLib_NelsonSiegelFitting(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib