QuantLibEx

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Some experimental codes that intend to extend QuantLib.

About Term Structure

Classes CubicSpline and CubicSplinesFitting intend to fit term structure using cubic splines, the codes base on paper (Ferstl and Hayden, 2010) and (McCulloch, 1975).

Classes QuadraticSpline and QuadraticSplinesFitting intend to fit term structure using quadratic splines, the codes base on paper (McCulloch, 1971).

Class AdjustedSvenssonFitting intends to fit term structure using adjusted Svensson model, the codes base on paper (Ferstl and Hayden, 2010) and (Pooter, 2007).

Class DieboldLiFitting intends to fit term structure using Diebold-Li model, a special Nelson-Siegel model, the codes base on paper (Ferstl and Hayden, 2010).

Class BlissFitting intends to fit term structure using Bliss three-factor model, the codes base on paper and (Pooter, 2007).

Class BjorkChristensenFitting intends to fit term structure using Björk-Christensen four-factor model, the codes base on paper and (Pooter, 2007).

About Day Counter

Class Actual365_25 is Actual/365.25 day count convention. Just a copy of Actual365Fixed, but divied by 356.25.

Reference

• Ferstl.R, Hayden.J (2010). "Zero-Coupon Yield Curve Estimation with the Package termstrc." Journal of Statistical Software, Volume 36, Issue 1.
• De Pooter M (2007). "Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance." SSRN eLibrary. http://ssrn.com/paper=992748.
• McCulloch JH (1971). Measuring the Term Structure of Interest Rates. The Journal of Business, 44(1), 19-31.
• McCulloch JH (1975). The Tax-Adjusted Yield Curve. The Journal of Finance, 30(3), 811–830.