models/shortrate/calibrationHelpers
OAS/OAD
floating rate callable bonds ?
refactor the bond helper class so that it is pure virtual and returns a generic bond or its cash flows. Derived classes would include helpers for fixed-rate and zero-coupon bonds. In this way, both bonds and bills can be used to fit a discount curve using the exact same machinery. At present, only fixed-coupon bonds are supported. An even better way to move forward might be to get rate helpers to return cashflows, in which case this class could be used to fit any set of cash flows, not just bonds.
add more fitting diagnostics: smoothness, standard deviation, student-t test, etc. Generic smoothness method may be useful for smoothing splines fitting. See Fisher, M., D. Nychka and D. Zervos: "Fitting the term structure of interest rates with smoothing splines." Board of Governors of the Federal Reserve System, Federal Resere Board Working Paper, 95-1.
add extrapolation routines
is any fitting of the form
. Such a fitting can be reduced to a linear algebra problem
, and for large numbers of bonds, would typically be much faster computationally than the generic non-linear fitting method. Add preconditions and tests
Create switch- if coupon goes to seller is toggled on, don't consider income in the
calculation.
Verify this works when the underlying is paper (in which case ignore all AI.)
or
.