/// <summary>
/// Fits a Nelson Siegel curve to data
/// </summary>
/// <param name="t"></param>
/// <param name="r"></param>
/// <returns></returns>
public static NelsonSiegel Fit(Date anchorDate, Date[] dates, double[] rates)
{
var times = new double[dates.Length];
for (var i = 0; i < dates.Length; i++)
{
times[i] = dates[i] - anchorDate;
}
Func <double[], double> f = x => ErrorFunction(x, times, rates);
var nm = new NelderMead(4, f);
var success = nm.Minimize(new[] { rates[0], rates[0], rates[0], times.Last() / 5.0 });
var minValue = nm.Value;
var solution = nm.Solution;
var curve = new NelsonSiegel(anchorDate, solution[0], solution[1], solution[2], solution[3]);
return(curve);
}
/// <summary>
/// Fits a Nelson Siegel curve to data
/// </summary>
/// <param name="t"></param>
/// <param name="r"></param>
/// <returns></returns>
public static NelsonSiegel Fit(Date anchorDate, Date[] dates, double[] rates)
{
double[] times = new double[dates.Length];
for (int i = 0; i < dates.Length; i++)
{
times[i] = dates[i] - anchorDate;
}
Func <double[], double> f = (x) => ErrorFunction(x, times, rates);
var nm = new NelderMead(numberOfVariables: 4, function: f);
bool success = nm.Minimize(new double[] { rates[0], rates[0], rates[0], times.Last() / 5.0 });
double minValue = nm.Value;
double[] solution = nm.Solution;
NelsonSiegel curve = new NelsonSiegel(anchorDate, solution[0], solution[1], solution[2], solution[3]);
return(curve);
}
