Uses of Record Class
com.quantfinlib.rates.Svensson.Fit
Packages that use Svensson.Fit
Package
Description
Fixed income with real market conventions:
YieldCurve (zero curve, discount factors,
implied forwards, bootstrap from annual par swaps),
BondPricer (price/yield, duration, convexity,
DV01 — both whole-period and date-based with accrued interest),
DayCount (ACT/360, ACT/365, 30/360,
ACT/ACT ISDA), BusinessCalendar
(holidays, roll conventions, T+n settlement, coupon schedules),
ShortRateModels (Vasicek, CIR and
curve-fitted Hull-White: closed-form zero-coupon bonds plus the
simulation steps a rates-factor Monte Carlo needs) and
KeyRateDurations (WHERE on the curve a
bond's DV01 lives — per-node bumps whose slices sum back to the
parallel move, tested).-
Uses of Svensson.Fit in com.quantfinlib.rates
Methods in com.quantfinlib.rates that return Svensson.FitModifier and TypeMethodDescriptionstatic Svensson.FitSvensson.fit(double[] tenorYears, double[] zeroRates) Fits by 2-D log-spaced lambda grid (0.1y-10y, 50 nodes per axis,lambda2 > lambda1only) + exact 4-regressor OLS per node.