Spread fitting method helper. More...
#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>
Inheritance diagram for SpreadFittingMethod:Public Member Functions | |
| SpreadFittingMethod (boost::shared_ptr< FittingMethod > method, Handle< YieldTermStructure > discountCurve) | |
| std::auto_ptr< FittedBondDiscountCurve::FittingMethod > | clone () const |
| clone of the current object | |
Public Member Functions inherited from FittedBondDiscountCurve::FittingMethod | |
| Array | solution () const |
| output array of results of optimization problem | |
| Integer | numberOfIterations () const |
| final number of iterations used in the optimization problem | |
| Real | minimumCostValue () const |
| final value of cost function after optimization | |
| bool | constrainAtZero () const |
| return whether there is a constraint at zero | |
| Array | weights () const |
| return weights being used | |
| Array | l2 () const |
| return l2 penalties being used | |
| boost::shared_ptr< OptimizationMethod > | optimizationMethod () const |
| return optimization method being used | |
| DiscountFactor | discount (const Array &x, Time t) const |
| open discountFunction to public | |
Protected Member Functions | |
| void | init () |
| rerun every time instruments/referenceDate changes | |
Protected Member Functions inherited from FittedBondDiscountCurve::FittingMethod | |
| FittingMethod (bool constrainAtZero=true, const Array &weights=Array(), boost::shared_ptr< OptimizationMethod > optimizationMethod=boost::shared_ptr< OptimizationMethod >(), const Array &l2=Array()) | |
| constructors | |
Additional Inherited Members | |
Protected Attributes inherited from FittedBondDiscountCurve::FittingMethod | |
| bool | constrainAtZero_ |
| constrains discount function to unity at \( T=0 \), if true | |
| FittedBondDiscountCurve * | curve_ |
| internal reference to the FittedBondDiscountCurve instance | |
| Array | solution_ |
| solution array found from optimization, set in calculate() | |
| Array | guessSolution_ |
| optional guess solution to be passed into constructor. More... | |
| boost::shared_ptr< FittingCost > | costFunction_ |
| base class sets this cost function used in the optimization routine | |
Spread fitting method helper.