Re: bermudan swaption, simplex

[Giancarlo Pfeifer-2]

> 1. I am trying to calibrate Hull-White for Bermudan
> swaptions, and the time needed for calibration
> varies greatly depending on the volatility surface
> I am inserting. For some surfaces, the analytic
> formula only takes a few seconds, while with other
> surfaces the calibration does never seem to
> terminate.

Sorry, I withdraw the first question: I looked at the
code today with fresh mind and it was my mistake: I
set the tollerance smaller than the arithmetic limits
of the computer (1e-15!!!), and for this reason the
simplex did hang.

Thanks you,
giancarlo
gc


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[Neil P Firth]

Hi,

I was wondering what the thinking behind the NonLinearLeastSquares class
was. I am thinking about implementing Least Square Monte Carlo so will
need some Least Squares routines, representations for the basis functions,
and probably matrix SVD functions. What is the quantlib view on
implementing linear algebra, and LAPACK ports?

Thanks,
Neil

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  Neil Firth
  Brasenose College Oxford OX1 4AJ United Kingdom
  Office: 01865 280616
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