NelsonSiegelFitting Class Reference

Nelson-Siegel fitting method. More...

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

Inheritance diagram for NelsonSiegelFitting:

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
 
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...
 
boost::shared_ptr< FittingCost > costFunction_
 base class sets this cost function used in the optimization routine
 

Detailed Description

Nelson-Siegel fitting method.

Fits a discount function to the form $ d(t) = \exp^{-r t}, $ where the zero rate $r$ is defined as

\[ r \equiv c_0 + (c_0 + c_1)*(1 - exp^{-\kappa*t}/(\kappa t) - c_2 exp^{ - \kappa t}. \]

See: Nelson, C. and A. Siegel (1985): "Parsimonious modeling of yield curves for US Treasury bills." NBER Working Paper Series, no 1594.

Examples:
FittedBondCurve.cpp.