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Exponential-splines fitting method

Fits a discount function to the exponential form $$ d(t) = \sum_{i=1}^9 c_i \exp^{-kappa i t} $$ where the constants $ c_i $ and $ \kappa $ are to be determined. See:Li, B., E. DeWetering, G. Lucas, R. Brenner and A. Shapiro (2001): "Merrill Lynch Exponential Spline Model." Merrill Lynch Working Paper

warning convergence may be slow

Hierarchy

Index

Properties

Protected _constrainAtZero

_constrainAtZero: boolean

Protected _costFunction

_costFunction: FittingCost

_curve

Protected _guessSolution

_guessSolution: Real[]

_l2

_l2: Real[]

_solution

_solution: Real[]

_weights

_weights: Real[]

Methods

calculate

  • calculate(): void
  • Returns void

clone

constrainAtZero

  • constrainAtZero(): boolean

discount

discountFunction

esfInit1

  • Parameters

    • Default value constrainAtZero: boolean = true
    • Default value weights: Real[] = []
    • Default value optimizationMethod: OptimizationMethod = null
    • Default value l2: Real[] = []

    Returns ExponentialSplinesFitting

esfInit2

fmInit

  • Parameters

    • Default value constrainAtZero: boolean = true
    • Default value weights: Real[] = []
    • Default value optimizationMethod: OptimizationMethod = null
    • Default value l2: Real[] = []

    Returns FittingMethod

init

  • init(): void
  • Returns void

l2

  • Returns Real[]

minimumCostValue

  • minimumCostValue(): Real

numberOfIterations

optimizationMethod

size

  • Returns Size

solution

  • solution(): Real[]

weights