Re: YieldTermStructure, FittedBondDiscountCurve

Posted by Dr. Harald Hubbes on Jun 06, 2016; 9:21pm
URL: http://quantlib.414.s1.nabble.com/Re-YieldTermStructure-FittedBondDiscountCurve-tp17500.html

Dear Quantlib Users

I have implemented most  the Term Structure Fitting Methods like

-          boost::shared_ptr<YieldTermStructure> ts0(new PiecewiseYieldCurve<Discount, LogLinear>(curveSettlementDays,calendar,B,dc));

 

-          ExponentialSplinesFitting exponentialSplines(constrainAtZero);

boost::shared_ptr<FittedBondDiscountCurve> ts1(new FittedBondDiscountCurve(curveSettlementDays,calendar,A,dc,exponentialSplines,tolerance,max));

 

-          NelsonSiegelFitting nelsonSiegel;

boost::shared_ptr<FittedBondDiscountCurve> ts3(new FittedBondDiscountCurve(curveSettlementDays,calendar,A,dc,nelsonSiegel,tolerance,max));

 

with std::vector<boost::shared_ptr<BondHelper> >                     A and

std::vector<boost::shared_ptr<RateHelper> >                                B

 

Since I can calculate the discount rates for a given date , can I also price a bond at a YieldTermStructure or FittedBondDiscountCurve directly with a “BondHelper”?

Can I obtain a measure for the fit quality?

 

Kind Regards, Harald Hubbes

 

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