- 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
![\[ d(t) = \sum_{i=1}^9 c_i \exp^{-kappa i t} \]](form_396.png) 
 where the constants  and
 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
 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