SvenssonFitting

NAME

SvenssonFitting − Svensson Fitting method.

SYNOPSIS

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

Inherits FittedBondDiscountCurve::FittingMethod.

Public Member Functions

SvenssonFitting (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

Svensson 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)(ac {1 - exp^{-ppa t}}{ppa t}) - c_2exp^{ - ppa t} + c_3{(ac{1 - exp^{-ppa_1 t}}{ppa_1 t} -exp^{-ppa_1 t})}. ] See: Svensson, L. (1994). Estimating and interpreting forward interest rates: Sweden 1992-4. Discussion paper, Centre for Economic Policy Research(1051).

Examples:

FittedBondCurve.cpp.

Author

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