First of all thank you for a great library.
Can some one walk me through a rough solution fixing the a, b and rho parameters when calibrating using the g2++ model?
The Simplex optimization does not find the expected solution for yen Swaption volatility surfaces.
% I tries to keep the constraints inside of my required range but this fails. It looks as if this is not picket up correctly in the optimizer when calibrating.
% optimizer does not deliver the expected values if keeping a, b and rho constant. So that would mean that I would have to add some kind of other optimization that does not use all 5 parameters but only 2 (sigma and eta)
What would be a suitable solution for this problem?
Regards
Lars Schouw
Yahoo! for Good
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