QuantLib: ExponentialSplinesFitting Class Reference

Exponential-splines fitting method. More...

#include <nonlinearfittingmethods.hpp>

Inheritance diagram for ExponentialSplinesFitting:

Collaboration 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 More...

Public Member Functions inherited from FittedBondDiscountCurve::FittingMethod
virtual	~FittingMethod ()=default

virtual Size	size () const =0
	total number of coefficients to fit/solve for More...

Array	solution () const
	output array of results of optimization problem More...

Integer	numberOfIterations () const
	final number of iterations used in the optimization problem More...

Real	minimumCostValue () const
	final value of cost function after optimization More...

EndCriteria::Type	errorCode () const
	error code of the optimization More...

virtual std::unique_ptr< FittingMethod >	clone () const =0
	clone of the current object More...

bool	constrainAtZero () const
	return whether there is a constraint at zero More...

Array	weights () const
	return weights being used More...

Array	l2 () const
	return l2 penalties being used More...

ext::shared_ptr< OptimizationMethod >	optimizationMethod () const
	return optimization method being used More...

const Constraint &	constraint () const
	return optimization contraint More...

DiscountFactor	discount (const Array &x, Time t) const
	open discountFunction to public More...

Private Member Functions
Size	size () const override
	total number of coefficients to fit/solve for More...

DiscountFactor	discountFunction (const Array &x, Time t) const override
	discount function called by FittedBondDiscountCurve More...

Private Attributes
Natural	numCoeffs_

Real	fixedKappa_

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 More...

virtual void	init ()
	rerun every time instruments/referenceDate changes More...

virtual DiscountFactor	discountFunction (const Array &x, Time t) const =0
	discount function called by FittedBondDiscountCurve More...

Protected Attributes inherited from FittedBondDiscountCurve::FittingMethod
bool	constrainAtZero_
	constrains discount function to unity at \( T=0 \), if true More...

FittedBondDiscountCurve *	curve_
	internal reference to the FittedBondDiscountCurve instance More...

Array	solution_
	solution array found from optimization, set in calculate() More...

Array	guessSolution_
	optional guess solution to be passed into constructor. More...

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

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.

Definition at line 49 of file nonlinearfittingmethods.hpp.

Constructor & Destructor Documentation

◆ ExponentialSplinesFitting() [1/3]

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()`
	)

Definition at line 28 of file nonlinearfittingmethods.cpp.

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◆ ExponentialSplinesFitting() [2/3]

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()`
	)

Definition at line 44 of file nonlinearfittingmethods.cpp.

◆ ExponentialSplinesFitting() [3/3]

ExponentialSplinesFitting	(	bool	constrainAtZero,
		Size	numCoeffs,
		Real	fixedKappa,
		const Array &	weights = `Array()`,
		Constraint	constraint = `NoConstraint()`
	)