Re: Svensson overshooting when fitting the bond yield curve.

Posted by SteveGe on Sep 30, 2014; 6:36am
URL: http://quantlib.414.s1.nabble.com/Svensson-overshooting-when-fitting-the-bond-yield-curve-tp15926p15930.html

I suspect this is a bug in Quantlib code.  As in my solution b0 is negative, which should not be the case.
Long-run levels of interest rates b0
Short-run component b1
Medium-term component b2

Also in below paper, It require below constarints.
β1 > 0 , β1 + β2 > 0 .  We also need to have λ > 0.
http://comisef.eu/files/wps031.pdf

But in below code it has NoConstraint. it should have above constraints.

void FittedBondDiscountCurve::FittingMethod::calculate() {
        FittingCost& costFunction = *costFunction_;
        Constraint constraint = NoConstraint();
        // start with the guess solution, if it exists
        Array x(size(), 0.0);
        if (!curve_->guessSolution_.empty()) {
            x = curve_->guessSolution_;
        }


Thanks