NelsonSiegelFitting Class Reference

Nelson-Siegel fitting method. More...

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

Inheritance diagram for NelsonSiegelFitting:

List of all members.

Public Member Functions

std::auto_ptr
< FittedBondDiscountCurve::FittingMethod
clone () const
 clone of the current object

Detailed Description

Nelson-Siegel fitting method.

Fits a discount function to the form $ d(t) = \exp^{-r t}, $ where the zero rate $r$ is defined as

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

See: Nelson, C. and A. Siegel (1985): "Parsimonious modeling of yield curves for US Treasury bills." NBER Working Paper Series, no 1594.

Examples:
FittedBondCurve.cpp.