Nelson-Siegel fitting method. More...

Inheritance diagram for NelsonSiegelFitting:

Collaboration diagram for NelsonSiegelFitting:

Public Member Functions
	NelsonSiegelFitting (const Array &weights=Array(), const ext::shared_ptr< OptimizationMethod > &optimizationMethod=ext::shared_ptr< OptimizationMethod >(), const Array &l2=Array(), Real minCutoffTime=0.0, Real maxCutoffTime=QL_MAX_REAL)

	NelsonSiegelFitting (const Array &weights, const Array &l2, Real minCutoffTime=0.0, Real maxCutoffTime=QL_MAX_REAL)

std::unique_ptr< FittedBondDiscountCurve::FittingMethod >	clone () const override
	clone of the current object More...

Public Member Functions inherited from FittedBondDiscountCurve::FittingMethod
virtual	~FittingMethod ()=default

virtual Size	size () const =0
	total number of coefficients to fit/solve for More...

Array	solution () const
	output array of results of optimization problem More...

Integer	numberOfIterations () const
	final number of iterations used in the optimization problem More...

Real	minimumCostValue () const
	final value of cost function after optimization More...

EndCriteria::Type	errorCode () const
	error code of the optimization More...

virtual std::unique_ptr< FittingMethod >	clone () const =0
	clone of the current object More...

bool	constrainAtZero () const
	return whether there is a constraint at zero More...

Array	weights () const
	return weights being used More...

Array	l2 () const
	return l2 penalties being used More...

ext::shared_ptr< OptimizationMethod >	optimizationMethod () const
	return optimization method being used More...

DiscountFactor	discount (const Array &x, Time t) const
	open discountFunction to public More...

Private Member Functions
Size	size () const override
	total number of coefficients to fit/solve for More...

DiscountFactor	discountFunction (const Array &x, Time t) const override
	discount function called by FittedBondDiscountCurve More...

Additional Inherited Members
Protected Member Functions inherited from FittedBondDiscountCurve::FittingMethod
	FittingMethod (bool constrainAtZero=true, const Array &weights=Array(), ext::shared_ptr< OptimizationMethod > optimizationMethod=ext::shared_ptr< OptimizationMethod >(), Array l2=Array(), Real minCutoffTime=0.0, Real maxCutoffTime=QL_MAX_REAL)
	constructors More...

virtual void	init ()
	rerun every time instruments/referenceDate changes More...

virtual DiscountFactor	discountFunction (const Array &x, Time t) const =0
	discount function called by FittedBondDiscountCurve More...

Protected Attributes inherited from FittedBondDiscountCurve::FittingMethod
bool	constrainAtZero_
	constrains discount function to unity at \( T=0 \), if true More...

FittedBondDiscountCurve *	curve_
	internal reference to the FittedBondDiscountCurve instance More...

Array	solution_
	solution array found from optimization, set in calculate() More...

Array	guessSolution_
	optional guess solution to be passed into constructor. More...

ext::shared_ptr< FittingCost >	costFunction_
	base class sets this cost function used in the optimization routine More...

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

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

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

Constructor & Destructor Documentation

NelsonSiegelFitting	(	const Array &	weights = `Array()`,
		const ext::shared_ptr< OptimizationMethod > &	optimizationMethod = `ext::shared_ptr<OptimizationMethod>()`,
		const Array &	l2 = `Array()`,
		Real	minCutoffTime = `0.0`,
		Real	maxCutoffTime = `QL_MAX_REAL`
	)