Re: Svensson overshooting when fitting the bond yield curve.

Posted by SteveGe on Sep 30, 2014; 2:42am
URL: http://quantlib.414.s1.nabble.com/Svensson-overshooting-when-fitting-the-bond-yield-curve-tp15926p15929.html

Thanks a lot for your quick reply KK.

I modified the example code in QuantLib-1.4\Examples\FittedBondCurve to use my five bonds and coupons.
Code snippet as below.  The parameters I got is very different from yours.

solution_[0] = -0.260551     //this should be your beta1
solution_[1] = 0.249855     //this should be your beta2
solution_[2] = 0.512962    //this should be your beta3
solution_[3] = 0.131457     //this should be your beta4
solution_[4] = 0.0729963    // this might be your 1/lamada1
solution_[5] = 1.56969      // this might be your 1/lamada2


 const Size numberOfBonds = 5;
        Real cleanPrice[numberOfBonds];
        for (Size i=0; i<numberOfBonds; i++) {
            cleanPrice[i]=100.0;
        }
        std::vector< boost::shared_ptr<SimpleQuote> > quote;
        for (Size i=0; i<numberOfBonds; i++) {
            boost::shared_ptr<SimpleQuote> cp(new SimpleQuote(cleanPrice[i]));
            quote.push_back(cp);
        }
        RelinkableHandle<Quote> quoteHandle[numberOfBonds];
        for (Size i=0; i<numberOfBonds; i++) {
            quoteHandle[i].linkTo(quote[i]);
        }
                Integer lengths[] = { 1, 3, 5, 7, 10 };
                Real coupons[] = { 0.0379, 0.0397, 0.0399, 0.0416, 0.0426 };

                DayCounter dc = ActualActual(ActualActual::Bond);
                BusinessDayConvention accrualConvention = Unadjusted;
                BusinessDayConvention convention = Unadjusted;

Did I make any mistake here ?