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

| Public Member Functions | |
| 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
 where the zero rate  is defined as
 is defined as 
![\[ r \equiv c_0 + (c_0 + c_1)(\frac {1 - exp^{-\kappa t}}{\kappa t}) - c_2exp^{ - \kappa t} + c_3{(\frac{1 - exp^{-\kappa_1 t}}{\kappa_1 t} -exp^{-\kappa_1 t})}. \]](form_401.png) 
See: Svensson, L. (1994). Estimating and interpreting forward interest rates: Sweden 1992-4. Discussion paper, Centre for Economic Policy Research(1051).