- QuantLib
- ExponentialSplinesFitting
Exponential-splines fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>

Public Member Functions | |
| ExponentialSplinesFitting (bool constrainAtZero=true) | |
|
std::auto_ptr < FittedBondDiscountCurve::FittingMethod > | clone () const |
| clone of the current object | |
Exponential-splines fitting method.
Fits a discount function to the exponential form
where the constants
and
are to be determined. See:Li, B., E. DeWetering, G. Lucas, R. Brenner and A. Shapiro (2001): "Merrill Lynch Exponential Spline
Model." Merrill Lynch Working Paper