Rechercher une page de manuel
QuantLib_CubicBSplinesFitting
Langue: en
Version: 373657 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::CubicBSplinesFitting -CubicSpline B-splines fitting method.
SYNOPSIS
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
Inherits QuantLib::FittedBondDiscountCurve::FittingMethod.
Public Member Functions
CubicBSplinesFitting (const std::vector< Time > &knotVector, bool constrainAtZero=true)
Real basisFunction (Integer i, Time t) const
cubic B-spline basis functions
std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const
clone of the current object
Detailed Description
CubicSpline B-splines fitting method.
Fits a discount function to a set of cubic B-splines $ N_{i,3}(t) $, i.e., [ d(t) = um_{i=0}^{n} c_i * N_{i,3}(t) ]
See: McCulloch, J. 1971, 'Measuring the Term Structure of
Interest Rates.' Journal of Business, 44: 19-31
McCulloch, J. 1975, 'The tax adjusted yield curve.' Journal of Finance, XXX811-30
Warning
- "The results are extremely sensitive to the number and location of the knot points, and there is no optimal way of selecting them.' James, J. and
N. Webber, 'Interest Rate Modelling" John Wiley, 2000, pp. 440.
Examples:
FittedBondCurve.cpp.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre