CubicBSplinesFitting Class Reference

CubicSpline B-splines fitting method. More...

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

Inheritance diagram for CubicBSplinesFitting:

List of all members.

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.,

\[ d(t) = \sum_{i=0}^{n} c_i * N_{i,3}(t) \]

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.