SvenssonFitting Class Reference
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 |
Detailed Description
Svensson Fitting method.
Fits a discount function to the form where the zero rate
is defined as
See: Svensson, L. (1994). Estimating and interpreting forward interest rates: Sweden 1992-4. Discussion paper, Centre for Economic Policy Research(1051).
- Examples: