CubicSpline B-splines fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
Public Member Functions | |
CubicBSplinesFitting (const std::vector< Time > &knotVector, bool constrainAtZero=true, const Array &weights=Array(), boost::shared_ptr< OptimizationMethod > optimizationMethod=boost::shared_ptr< OptimizationMethod >()) | |
Real | basisFunction (Integer i, Time t) const |
cubic B-spline basis functions | |
std::auto_ptr< FittedBondDiscountCurve::FittingMethod > | clone () const |
clone of the current object | |
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Array | solution () const |
output array of results of optimization problem | |
Integer | numberOfIterations () const |
final number of iterations used in the optimization problem | |
Real | minimumCostValue () const |
final value of cost function after optimization | |
bool | constrainAtZero () const |
return whether there is a constraint at zero | |
Array | weights () const |
return weights being used | |
boost::shared_ptr< OptimizationMethod > | optimizationMethod () const |
return optimization method being used | |
DiscountFactor | discount (const Array &x, Time t) const |
open discountFunction to public | |
Additional Inherited Members | |
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FittingMethod (bool constrainAtZero=true, const Array &weights=Array(), boost::shared_ptr< OptimizationMethod > optimizationMethod=boost::shared_ptr< OptimizationMethod >()) | |
constructor | |
virtual void | init () |
rerun every time instruments/referenceDate changes | |
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bool | constrainAtZero_ |
constrains discount function to unity at \( T=0 \), if true | |
FittedBondDiscountCurve * | curve_ |
internal reference to the FittedBondDiscountCurve instance | |
Array | solution_ |
solution array found from optimization, set in calculate() | |
Array | guessSolution_ |
optional guess solution to be passed into constructor. More... | |
boost::shared_ptr< FittingCost > | costFunction_ |
base class sets this cost function used in the optimization routine | |
CubicSpline B-splines fitting method.
Fits a discount function to a set of cubic B-splines \( N_{i,3}(t) \), i.e.,
\[ d(t) = \sum_{i=0}^{n} c_i * N_{i,3}(t) \]
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