CubicB SplinesSubtype of
Corresponds to the CubicBSplinesFitting method in QuantLib.
The resulting discount factor P(T) for maturity T is similar to the one used in with the exponentials replaced with spline basis functions.
The number of basis functions equals the number of knots minus 4.
The number of parameters equals the number of basis functions if there is no constrain at 0. Otherwise it is less by 1.
See: McCulloch, J. 1971, "Measuring the Term Structure of Interest Rates." Journal of Business, 44: 19-31
McCulloch, J. 1975, "The tax adjusted yield curve."Journal of Finance, XXX811-30
Warning: The results are extremely sensitive to the number and location of the knot points, and there is no optimal way of selecting them.
James, J. and N. Webber, "Interest Rate Modelling" John Wiley, 2000, pp. 440