Polynomial fitting

[Lapin]

Hi,

I am trying to fit a 2nd degree polynomial to a set of market data and get back the coefficients.
I am trying to understand how to make it work in QL.
As in the test suite, I have create the cost function for the polynomial, but it is still quite not clear to me.
Could someone have a small example or some explanation about the way to set it up?

Cheers

[Allen Kuo-2]

you might try  http://quantlib.org/quep/quep003.html for hints, though I think the exact structure of the optimization classes may have been re-worked slightly since this example was written

 

Yomi <[hidden email]> wrote:

Hi,

I am trying to fit a 2nd degree polynomial to a set of market data and get
back the coefficients.
I am trying to understand how to make it work in QL.
As in the test suite, I have create the cost function for the polynomial,
but it is still quite not clear to me.
Could someone have a small example or some explanation about the way to set
it up?

Cheers

--
View this message in context: http://www.nabble.com/Polynomial-fitting-tf4723998.html#a13506237
Sent from the quantlib-users mailing list archive at Nabble.com.


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[Lapin]

Thanks
I have managed to make it work (conditionaly to a small fix as posted today).

Cheers

Allen Kuo-2 wrote

you might try  http://quantlib.org/quep/quep003.html for hints, though I think the exact structure of the optimization classes may have been re-worked slightly since this example was written
   
 
Yomi <[e-mail]> wrote:
 
Hi,

I am trying to fit a 2nd degree polynomial to a set of market data and get
back the coefficients.
I am trying to understand how to make it work in QL.
As in the test suite, I have create the cost function for the polynomial,
but it is still quite not clear to me.
Could someone have a small example or some explanation about the way to set
it up?

Cheers

--
View this message in context: http://www.nabble.com/Polynomial-fitting-tf4723998.html#a13506237
Sent from the quantlib-users mailing list archive at Nabble.com.


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