Class GeneralizedNelsonSiegel

• Defined in File generalized_nelson_siegel.hpp

Inheritance Relationships

Base Type

• public otyca::Model< 1 > (Template Class Model)

Class Documentation

class GeneralizedNelsonSiegel : public otyca::Model<1>

Implements the Generalized Nelson-Siegel model.

This model extends the Nelson-Siegel approach by including multiple slope and curvature components.

Public Functions

inline GeneralizedNelsonSiegel()

Default constructor initializing level to NaN.

inline GeneralizedNelsonSiegel(double level)

Constructor initializing the level component.

Parameters:

level – The initial level value.

std::vector<double> evaluate(const std::vector<std::array<double, 1>> &x) const

inline virtual void set_transformed_calibration_parameters(const std::vector<double> &transformed_parameters) override

set the transformed parameters for calibration.

Parameters:

transformed_calibration_parameters – the transformed calibration parameters

inline virtual void set_parameters(const std::vector<double> &parameters) override

Set the model’s raw parameters.

Parameters:

parameters – A vector of new parameter values.

inline virtual std::vector<double> get_parameters() const override

Get the model’s raw parameters.

Returns:

A vector containing the model’s parameters.

inline virtual std::vector<double> get_transformed_calibration_parameters() const override

get the transformed parameters for calibration.

Returns:

the transformed parameters for calibration

inline virtual std::string name() const override

Get the model’s name.

Returns:

A string representing the name of the model.

inline void add_slope_component(double slope, double tau)

Adds a slope component to the model.

Parameters:

• slope – The slope coefficient.

• tau – The decay factor.

inline void add_curvature_component(double slope, double tau)

Adds a curvature component to the model.

Parameters:

• slope – The curvature coefficient.

• tau – The decay factor.