ExponentialSplinesFitting Class Reference
Exponential-splines fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
Inheritance diagram for ExponentialSplinesFitting:

Public Member Functions | |
ExponentialSplinesFitting (bool constrainAtZero=true) | |
std::auto_ptr < FittedBondDiscountCurve::FittingMethod > | clone () const |
clone of the current object |
Detailed Description
Exponential-splines fitting method.
Fits a discount function to the exponential form
where the constants and
are to be determined. See:Li, B., E. DeWetering, G. Lucas, R. Brenner and A. Shapiro (2001): "Merrill Lynch Exponential Spline
Model." Merrill Lynch Working Paper
- Warning:
- convergence may be slow
- Examples: