Svensson Fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
Inheritance diagram for SvenssonFitting: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 | |
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).