ExponentialSplinesFitting Class Reference

Exponential-splines fitting method. More...

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

Inheritance diagram for ExponentialSplinesFitting:

Public Member Functions
	ExponentialSplinesFitting (bool constrainAtZero=true, const Array &weights=Array(), const ext::shared_ptr< OptimizationMethod > &optimizationMethod={}, const Array &l2=Array(), Real minCutoffTime=0.0, Real maxCutoffTime=QL_MAX_REAL, Size numCoeffs=9, Real fixedKappa=Null< Real >(), Constraint constraint=NoConstraint())
	ExponentialSplinesFitting (bool constrainAtZero, const Array &weights, const Array &l2, Real minCutoffTime=0.0, Real maxCutoffTime=QL_MAX_REAL, Size numCoeffs=9, Real fixedKappa=Null< Real >(), Constraint constraint=NoConstraint())
	ExponentialSplinesFitting (bool constrainAtZero, Size numCoeffs, Real fixedKappa, const Array &weights=Array(), Constraint constraint=NoConstraint())
std::unique_ptr< FittedBondDiscountCurve::FittingMethod >	clone () const override
	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
EndCriteria::Type	errorCode () const
	error code of the optimization
bool	constrainAtZero () const
	return whether there is a constraint at zero
Array	weights () const
	return weights being used
Array	l2 () const
	return l2 penalties being used
ext::shared_ptr< OptimizationMethod >	optimizationMethod () const
	return optimization method being used
const Constraint &	constraint () const
	return optimization contraint
DiscountFactor	discount (const Array &x, Time t) const
	open discountFunction to public

Additional Inherited Members
Protected Member Functions inherited from FittedBondDiscountCurve::FittingMethod
	FittingMethod (bool constrainAtZero=true, const Array &weights=Array(), ext::shared_ptr< OptimizationMethod > optimizationMethod=ext::shared_ptr< OptimizationMethod >(), Array l2=Array(), Real minCutoffTime=0.0, Real maxCutoffTime=QL_MAX_REAL, Constraint constraint=NoConstraint())
	constructors
virtual 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.
ext::shared_ptr< FittingCost >	costFunction_
	base class sets this cost function used in the optimization routine

Detailed Description

Exponential-splines fitting method.

Fits a discount function to the exponential form

\[d(t) = \sum_{i=1}^9 c_i e^{-\kappa_i t} \]

where the constants \( c_i \) and \( \kappa \) 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

\( \kappa \) can be passed a fixed value, in which case it is excluded from optimization.

Warning

convergence may be slow

Examples

FittedBondCurve.cpp.

Member Function Documentation

clone()

std::unique_ptr< FittedBondDiscountCurve::FittingMethod > clone ( ) const

overridevirtual

clone of the current object

Implements FittedBondDiscountCurve::FittingMethod.