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Class SpreadFittingMethod

Spread fitting method helper

Fits a spread curve on top of a discount function according to given parametric method

Hierarchy

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

Properties

Protected _constrainAtZero

_constrainAtZero: boolean

Protected _costFunction

_costFunction: FittingCost

_curve

_curve: FittedBondDiscountCurve

Private _discountingCurve

_discountingCurve: Handle<YieldTermStructure>

Protected _guessSolution

_guessSolution: Real[]

_l2

_l2: Real[]

Private _method

_method: FittingMethod

Private _rebase

_rebase: DiscountFactor

_solution

_solution: Real[]

_weights

_weights: Real[]

Methods

calculate

  • calculate(): void

  • Returns void

clone

constrainAtZero

  • constrainAtZero(): boolean

discount

discountFunction

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