ExponentialSplinesFitting

NAME

ExponentialSplinesFitting − Exponential-splines fitting method.

SYNOPSIS

#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) = _{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

Warning

convergence may be slow

Examples:

FittedBondCurve.cpp.

Author

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