FittedBondDiscountCurve with TBills

Posted by Steve Townsend on Oct 26, 2015; 5:54pm
URL: http://quantlib.414.s1.nabble.com/FittedBondDiscountCurve-with-TBills-tp16965.html

I am trying to extend the Bond Curve to support T-Bills on the short end, The default weight settings for duration < 1.0 seem too lage, skewing the fitting undesirably.  What is a sensible choice of weight formula across the maturity spectrum when maturities < 1Y are needed on the curve?  Seems like preserving the existing logic for >= 1Y is fine but a different rule is needed for < 1Y.

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