- QuantLib
- CubicBSplinesFitting
CubicSpline B-splines fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
Public Member Functions | |
CubicBSplinesFitting (const std::vector< Time > &knotVector, bool constrainAtZero=true) | |
Real | basisFunction (Integer i, Time t) const |
cubic B-spline basis functions | |
std::auto_ptr < FittedBondDiscountCurve::FittingMethod > | clone () const |
clone of the current object |
CubicSpline B-splines fitting method.
Fits a discount function to a set of cubic B-splines , i.e.,
See: McCulloch, J. 1971, "Measuring the Term Structure of Interest Rates." Journal of Business, 44: 19-31
McCulloch, J. 1975, "The tax adjusted yield curve." Journal of Finance, XXX811-30