[Quantlib-users] FittedBondDiscountCurve::FittingMethod ... should there be an enum?

[<da...@el...>]

Hi everyone,

 

The FittedBondDiscountCurve uses a FittingMethod specific to a curve model.

 

The currently available FittingMethods are:

ExponentialSplinesFitting

SimplePolynomialFitting

NelsonSiegelFitting

CubicBSplinesFitting

SvenssonFitting
and

SpreadFittingMethod (which is a helper, and uses one of the other methods).

 

Since I am looking to access these via QuantLibXL, it seems I have two
options for the Excel interface: expose separate Excel UDFs for each method
(eg qlExponentialSplinesFittedBondDiscountCurve(),
qlSimplePolynomialFittedBondDiscountCurve() etc), or have a single
qlFittedBondDiscountCurve() function which takes a parameter which
identifies what FittingMethod to use, as well as a variable Array of values
specific to that FittingMethod. 

Any thoughts on which is better? If there is to be one function call, then
there probably needs to be a separate enumerated type visible to Excel (as
we have for other curve methods). It could also (instead?) be an Enum within
QuantLib which could be used by a generic discount curve generator that
decides the FittingMethod at runtime.

 

I am quite new to the architecture of QL, so not sure the best approach.

 

Best

David Sansom