Exponential-splines fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
Inheritance diagram for ExponentialSplinesFitting:Public Member Functions | |
| ExponentialSplinesFitting (bool constrainAtZero=true) | |
| std::auto_ptr< FittedBondDiscountCurve::FittingMethod > | clone () const |
| clone of the current object | |
Public Member Functions inherited from FittedBondDiscountCurve::FittingMethod | |
| Array | solution () const |
| output array of results of optimization problem | |
| Integer | numberOfIterations () const |
| final number of iterations used in the optimization problem | |
| Real | minimumCostValue () const |
| final value of cost function after optimization | |
Additional Inherited Members | |
Protected Member Functions inherited from FittedBondDiscountCurve::FittingMethod | |
| FittingMethod (bool constrainAtZero=true) | |
| constructor | |
| void | init () |
| rerun every time instruments/referenceDate changes | |
Protected Attributes inherited from FittedBondDiscountCurve::FittingMethod | |
| bool | constrainAtZero_ |
| constrains discount function to unity at \( T=0 \), if true | |
| FittedBondDiscountCurve * | curve_ |
| internal reference to the FittedBondDiscountCurve instance | |
| Array | solution_ |
| solution array found from optimization, set in calculate() | |
| Array | guessSolution_ |
| optional guess solution to be passed into constructor. More... | |
| boost::shared_ptr< FittingCost > | costFunction_ |
| base class sets this cost function used in the optimization routine | |
Exponential-splines fitting method.
Fits a discount function to the exponential form
\[ d(t) = \sum_{i=1}^9 c_i \exp^{-kappa i t} \]
where the constants \( c_i \) and \( \kappa \) 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