QuantLib: SvenssonFitting Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

- Main Page
- Related Pages
- Modules
- Classes
- Examples

- Class List
- Class Index
- Class Hierarchy
- Class Members

Public Member Functions | List of all members
SvenssonFitting Class Reference

Svensson Fitting method. More...

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

Inheritance diagram for SvenssonFitting:
[legend]

## Public Member Functions
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

## Additional Inherited Members
Protected Member Functions inherited from FittedBondDiscountCurve::FittingMethod
| FittingMethod (bool constrainAtZero=true)
| constructor
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...
boost::shared_ptr< FittingCost > | costFunction_
| base class sets this cost function used in the optimization routine

## Detailed Description

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).

Examples:
  FittedBondCurve.cpp.