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Re: YieldTermStructure, FittedBondDiscountCurve

Posted by Andres Hernandez on Jun 07, 2016; 2:30pm
URL: http://quantlib.414.s1.nabble.com/Re-YieldTermStructure-FittedBondDiscountCurve-tp17500p17501.html

Hi,
 
I'm pretty sure that there is no formal measure of fit implemented. What would be available right now is the final value of the optimization objective, which would at least allow to compare the goodness of fit through time. If you have a concrete idea of another indicator that could be used, I would be very happy to hear about it.
 
cheers,
Andres
 
 
----- Original message -----
From: "Dr. Harald Hubbes" <[hidden email]>
To: <[hidden email]>
Cc:
Subject: Re: [Quantlib-users] YieldTermStructure, FittedBondDiscountCurve
Date: Tue, Jun 7, 2016 12:29 AM
 

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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What NetFlow Analyzer can do for you? Monitors network bandwidth and traffic
patterns at an interface-level. Reveals which users, apps, and protocols are
consuming the most bandwidth. Provides multi-vendor support for NetFlow,
J-Flow, sFlow and other flows. Make informed decisions using capacity
planning reports. https://ad.doubleclick.net/ddm/clk/305295220;132659582;e
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