SvenssonFitting Class Reference

Svensson Fitting method. More...

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

Inheritance diagram for SvenssonFitting:

List of all members.

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 $ d(t) = \exp^{-r t}, $ where the zero rate $r$ is defined as

\[ r \equiv c_0 + (c_0 + c_1)*(1 - exp^{-\kappa*t}/(\kappa t) - c_2 exp^{ - \kappa t} + c_3*{(1 - exp^{-\kappa*t}/(\kappa_1 t)) -exp^{-\kappa_1*t}}. \]

See: Svensson, L. (1994). Estimating and interpreting forward interest rates: Sweden 1992-4. Discussion paper, Centre for Economic Policy Research(1051).

Examples:

FittedBondCurve.cpp.