Simple Polynomial

Subtype of Method

Corresponds to the SimplePolynomialFitting method in QuantLib.
The resulting discount factor P(T) for maturity T depends on whether a constrain at 0 is imposed or not.
Without the constrain, it depends on N+1 parameters, where N is the degree of the polynomial and has the simple polynomial form:
P(T) = α(0)+α(1)T+α(2)T^2+...α(N)T^N ]
with parameter ordering: α(0), α(1), α(2), ..., α(N)
With the constrain, it depends on N parameters as follows:
P(T) = 1+α(1)T+α(2)T^2+...α(N)T^N ]
with parameter ordering: α(1), α(2), ..., α(N)
This is a simple/crude, but fast and robust, means of fitting a yield curve