- QuantLib
- NelsonSiegelFitting
Nelson-Siegel fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
Public Member Functions | |
std::auto_ptr < FittedBondDiscountCurve::FittingMethod > | clone () const |
clone of the current object |
Nelson-Siegel fitting method.
Fits a discount function to the form where the zero rate
is defined as
See: Nelson, C. and A. Siegel (1985): "Parsimonious modeling of yield curves for US Treasury bills." NBER Working Paper Series, no 1594.