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QuantLib_CubicBSplinesFitting
Langue: en
Version: 152255 (fedora - 05/07/09)
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., \
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
Examples:
FittedBondCurve.cpp.
Author
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