- QuantLib
- CubicBSplinesFitting
 
CubicSpline B-splines fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>

| Public Member Functions | |
| CubicBSplinesFitting (const std::vector< Time > &knotVector, bool constrainAtZero=true) | |
| Real | basisFunction (Integer i, Time t) const | 
| cubic B-spline basis functions | |
| std::auto_ptr < FittedBondDiscountCurve::FittingMethod > | clone () const | 
| clone of the current object | |
CubicSpline B-splines fitting method.
Fits a discount function to a set of cubic B-splines  , i.e.,
, i.e., 
![\[ d(t) = \sum_{i=0}^{n} c_i * N_{i,3}(t) \]](form_403.png) 
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