SvenssonFitting Class Reference

Svensson Fitting method. More...

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

Inheritance diagram for SvenssonFitting:

Public Member Functions
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 , 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

Detailed Description

Svensson Fitting method.

Fits a discount function to the form where the zero rate is defined as

See: Svensson, L. (1994). Estimating and interpreting forward interest rates: Sweden 1992-4. Discussion paper, Centre for Economic Policy Research(1051).

Examples:

FittedBondCurve.cpp.