A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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Svensson Fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
Inheritance diagram for SvenssonFitting:Public Member Functions | |
| SvenssonFitting (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) | |
| SvenssonFitting (const Array &weights, const Array &l2, Real minCutoffTime=0.0, Real maxCutoffTime=QL_MAX_REAL) | |
| 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 | |
| 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< OptimizationMethod > | optimizationMethod () const |
| return optimization method being used | |
| DiscountFactor | discount (const Array &x, Time t) const |
| open discountFunction to public | |
Additional Inherited Members | |
| 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 | |
| virtual void | init () |
| rerun every time instruments/referenceDate changes | |
| Protected Attributes inherited from FittedBondDiscountCurve::FittingMethod | |
| bool | constrainAtZero_ |
| constrains discount function to unity at \( T=0 \), 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... | |
| ext::shared_ptr< FittingCost > | costFunction_ |
| base class sets this cost function used in the optimization routine | |
Svensson Fitting method.
Fits a discount function to the form \( d(t) = \exp^{-r t}, \) where the zero rate \(r\) is defined as
\[ r \equiv c_0 + (c_0 + c_1)(\frac {1 - exp^{-\kappa t}}{\kappa t}) - c_2exp^{ - \kappa t} + c_3{(\frac{1 - exp^{-\kappa_1 t}}{\kappa_1 t} -exp^{-\kappa_1 t})}. \]
See: Svensson, L. (1994). Estimating and interpreting forward interest rates: Sweden 1992-4. Discussion paper, Centre for Economic Policy Research(1051).
