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Jul 13, 2011; 8:42pm
URL: http://quantlib.414.s1.nabble.com/quantlib-Bugs-3366336-Error-in-Svensson-Fitting-Formula-tp9441.html
Bugs item #3366336, was opened at 2011-07-13 22:42
Message generated for change (Tracker Item Submitted) made by wasix
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Wasi (wasix)
Assigned to: Nobody/Anonymous (nobody)
Summary: Error in Svensson Fitting Formula
Initial Comment:
The zerorate calculation of the svensson discount function has an error:
109 Real zeroRate = x[0] + (x[1] + x[2])*
110 (1.0 - std::exp(-kappa*t))/
111 ((kappa+QL_EPSILON)*(t+QL_EPSILON)) -
112 (x[2])*std::exp(-kappa*t) +
113 x[3]* (((1.0 - std::exp(-kappa*t))/((kappa_1+QL_EPSILON)*(t+QL_EPSILON)))- std::exp(-kappa_1*t));
in line 113 kappa is used instead of kappa_1
correct is this:
109 Real zeroRate = x[0] + (x[1] + x[2])*
110 (1.0 - std::exp(-kappa*t))/
111 ((kappa+QL_EPSILON)*(t+QL_EPSILON)) -
112 (x[2])*std::exp(-kappa*t) +
113 x[3]* (((1.0 - std::exp(-kappa_1*t))/((kappa_1+QL_EPSILON)*(t+QL_EPSILON)))- std::exp(-kappa_1*t));
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