Class TermStructureFittingParameter

Namespace

NanoQL.Models

Assembly

NanoQL.dll

A deterministic time-dependent parameter used for yield-curve fitting, with no parameters of its own.

public class TermStructureFittingParameter : Parameter

Inheritance

object

Parameter

TermStructureFittingParameter

Inherited Members

Parameter.Params()

Parameter.SetParam(int, double)

Parameter.TestParams(Vector)

Parameter.Evaluate(double)

Parameter.Implementation()

Parameter.Size

Parameter.Constraint

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Built on a curve, its implementation is a TermStructureFittingParameter.NumericalImpl, the values a tree fits as it is built: a fitted short-rate tree fills them during its construction, step by step, and reads them afterwards, so each tree owns its fitting and a built tree's fitting never changes.

An extension point, as in QuantLib: Hull-White's analytical fitting parameter derives from it.

Constructors

TermStructureFittingParameter(Impl)

Initializes a new instance of the TermStructureFittingParameter class with an implementation.

protected TermStructureFittingParameter(Parameter.Impl impl)

Parameters

impl Parameter.Impl

The implementation.

Exceptions

ArgumentNullException

impl is null.

TermStructureFittingParameter(YieldTermStructure)

Initializes a new instance of the TermStructureFittingParameter class with numerical values to fit to a curve.

public TermStructureFittingParameter(YieldTermStructure term)

Parameters

term YieldTermStructure

The curve.

Exceptions

ArgumentNullException

term is null.