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- SvenssonFitting
Svensson Fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>

Public Member Functions | |
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std::auto_ptr < FittedBondDiscountCurve::FittingMethod > | clone () const |
| clone of the current object | |
Svensson Fitting method.
Fits a discount function to the form
where the zero rate
is defined as
See: Svensson, L. (1994). Estimating and interpreting forward interest rates: Sweden 1992-4. Discussion paper, Centre for Economic Policy Research(1051).