QuantLib_NelsonSiegelFitting

Langue: en

Autres versions - même langue

Version: 374188 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::NelsonSiegelFitting -

Nelson-Siegel fitting method.

SYNOPSIS


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

Inherits QuantLib::FittedBondDiscountCurve::FittingMethod.

Public Member Functions


std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const
clone of the current object

Detailed Description

Nelson-Siegel 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)*(1 - exp^{-ppa*t}/(ppa t) - c_2 exp^{ - ppa t}. ] See: Nelson, C. and A. Siegel (1985): 'Parsimonious modeling of yield
        curves for US Treasury bills.' NBER Working Paper Series, no 1594. 

Examples:

FittedBondCurve.cpp.

Author

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