QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | List of all members
SpreadFittingMethod Class Reference

Spread fitting method helper. More...

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

+ Inheritance diagram for SpreadFittingMethod:

Public Member Functions

 SpreadFittingMethod (const ext::shared_ptr< FittingMethod > &method, const Handle< YieldTermStructure > &discountCurve, Real minCutoffTime=0.0, Real maxCutoffTime=QL_MAX_REAL)
 
std::auto_ptr< FittedBondDiscountCurve::FittingMethodclone () 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
 
bool constrainAtZero () const
 return whether there is a constraint at zero
 
Array weights () const
 return weights being used
 
Array l2 () const
 return l2 penalties being used
 
ext::shared_ptr< OptimizationMethodoptimizationMethod () const
 return optimization method being used
 
DiscountFactor discount (const Array &x, Time t) const
 open discountFunction to public
 

Protected Member Functions

void init ()
 rerun every time instruments/referenceDate changes
 
- Protected Member Functions inherited from FittedBondDiscountCurve::FittingMethod
 FittingMethod (bool constrainAtZero=true, const Array &weights=Array(), const ext::shared_ptr< OptimizationMethod > &optimizationMethod=ext::shared_ptr< OptimizationMethod >(), const Array &l2=Array(), Real minCutoffTime=0.0, Real maxCutoffTime=QL_MAX_REAL)
 constructors
 

Additional Inherited Members

- Protected Attributes inherited from FittedBondDiscountCurve::FittingMethod
bool constrainAtZero_
 constrains discount function to unity at \( T=0 \), if true
 
FittedBondDiscountCurvecurve_
 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...
 
ext::shared_ptr< FittingCost > costFunction_
 base class sets this cost function used in the optimization routine
 

Detailed Description

Spread fitting method helper.

Examples
FittedBondCurve.cpp.