- QuantLib
- NelsonSiegelFitting
 
Nelson-Siegel fitting method. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>

| Public Member Functions | |
| std::auto_ptr < FittedBondDiscountCurve::FittingMethod > | clone () const | 
| clone of the current object | |
Nelson-Siegel fitting method.
Fits a discount function to the form  where the zero rate
 where the zero rate  is defined as
 is defined as 
![\[ r \equiv c_0 + (c_0 + c_1)*(1 - exp^{-\kappa*t}/(\kappa t) - c_2 exp^{ - \kappa t}. \]](form_400.png) 
See: Nelson, C. and A. Siegel (1985): "Parsimonious modeling of yield curves for US Treasury bills." NBER Working Paper Series, no 1594.