Exponential-splines fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
Public Member Functions | |
ExponentialSplinesFitting (bool constrainAtZero=true) | |
std::auto_ptr < FittedBondDiscountCurve::FittingMethod > | clone () const |
clone of the current object | |
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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 | |
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FittingMethod (bool constrainAtZero=true) | |
constructor | |
void | init () |
rerun every time instruments/referenceDate changes | |
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bool | constrainAtZero_ |
constrains discount function to unity at ![]() | |
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 | |
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