Hello,
I'm trying to calibrate the g2++ model with the differential evolution optimization method from QuantLib.
Can someone give me a hint how to set this up or give an example?
int main(){
...
double a = 0.1;
double b = 0.1;
double sigma = 0.01;
double eta = 0.01;
double rho = -0.75;
boost::shared_ptr<G2> modelG2pp(new G2(yieldCurve, a, b, sigma, eta, rho));
double lowerbound [5] = {0.0, 0.0, 0.0, 0.0, -1.0};
double upperbound [5] = {6.0, 6.0, 0.1, 0.1, 1.0};
DifferentialEvolution de;
...
modelG2pp->calibrate(swaptions, de, ...);
return 0;
}
Kind regards,
André
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