ExponentialSplinesFitting Class Reference

Exponential-splines fitting method. More...

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

Inheritance diagram for ExponentialSplinesFitting:

List of all members.

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

\[ d(t) = \sum_{i=1}^9 c_i \exp^{-kappa i t} \]

where the constants $ c_i $ and $ \kappa $ 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:

FittedBondCurve.cpp.