Re: [Quantlib-users] solving n euqations with n unknowns

[Adjriou Belak]

Hi Ashish,

thanks for your answer,

 

I'm trying to solve non linear equations. Actually I want to find zero rates  which fit bond Prices but I would like to smooth the curve by making a cubic interpolation. So I can't bootstrap because the current bond needs the next bond with a maturity higher than itself.

 

Thanks a lot.

I would like to integrate Newton-raphson algorithm to quantlib.

 

 

 

Ashish Kulkarni <[hidden email]> wrote:

AFAIK QuantLib doesn't have a N-dimensional solver. Building such a 
solver is a non-trivial task, to say the least  :-)

Section 9.6 and 9.7 of "Numerical Recipes in C" has very good and highly 
technical discussions regarding the problem (and some implementations, too).

http://www.library.cornell.edu/nr/bookcpdf.html

GSL has quite a few N-dimensional solvers also but it's GPL, so it might 
or might not fit your requirements.

http://www.gnu.org/software/gsl/manual/gsl-ref_34.html

Hope this helps,
Ashish

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> Hi,
>  
> I would like to implement a method with cubic interpolation for an an 
> interest curve so I need to get
> a newton Raphson algorithm to do that.
>  
> Do you know if there is this algorithm in quantlib or a solver wich 
> takes my equations and my unknowns ?
>  
> regards,
> belak

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[Ashish Kulkarni-6]

hello Adjriou,

can't help you directly, but I'd suggest looking at these great articles:

The Art and Science of Curve Building
http://www.fincad.com/news/jun04/The%20Art%20of%20Curve%20Building.pdf

David Cox: Yield Curves and how to build them
http://tinyurl.com/7y5vb

Excel/VBA of McCulloch's model
http://tinyurl.com/5dpqz

Hope this helps,
ashish

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Adjriou Belak wrote:
> Hi Ashish,
> thanks for your answer,
>  
> I'm trying to solve non linear equations. Actually I want to find zero 
> rates  which fit bond Prices but I would like to smooth the curve by 
> making a cubic interpolation. So I can't bootstrap because the current 
> bond needs the next bond with a maturity higher than itself.
>  
> Thanks a lot.
> I would like to integrate Newton-raphson algorithm to quantlib.

Greetings!

ICICI Infotech is now 3i Infotech.

The e-mail addresses of the company's employees have been changed to <existing name>@3i-infotech.com. You are requested to take note of this new e-mail ID and make use of the same in future

"This e-mail message may contain confidential, proprietary or legally privileged information. It should not be used by anyone who is not the original intended recipient. If you have erroneously received this message, please delete it immediately and notify the sender. The recipient acknowledges that 3i Infotech or its subsidiaries and associated companies, (collectively "3i Infotech"), are unable to exercise control or ensure or guarantee the integrity of/over the contents of the information contained in e-mail transmissions and further acknowledges that any views expressed in this message are those of the individual sender and no binding nature of the message shall be implied or assumed unless the sender does so expressly with due authority of 3i Infotech. Before opening any attachments please check them for viruses and defects."