hull white calibration

[ycc1107]

Hi all,

question 1:
The hull white calibration in BermudanSwaption.cs example is using Simplex instead of  LevenbergMarquardt in original c++ code.  does it means the Simplex equal to LevenbergMarquardt in this calibration method?
question 2:
the calibration takes like forever even I set max iteration is 500. why would it happen? I am using c#.

Thank you

[Luigi Ballabio]

Hello,

    1) no, I think the C++ example used Simplex in the past and C# followed. When it was changed to LevenbergMarquardt, nobody thought of also changing the C# version.

    2) You mean the BermudanSwaption example takes forever, or a modified version? If the latter, can you post it? Or is it the one already posted at <http://stackoverflow.com/questions/22696601/quantlib-c-sharp-swaption-calibration-function-can-not-get-answer>?

Luigi

On Wed, Mar 26, 2014 at 10:53 PM, ycc1107 <[hidden email]> wrote:

Hi all,

question 1:
The hull white calibration in BermudanSwaption.cs example is using Simplex
instead of  LevenbergMarquardt in original c++ code.  does it means the
Simplex equal to LevenbergMarquardt in this calibration method?
question 2:
the calibration takes like forever even I set max iteration is 500. why
would it happen? I am using c#.

Thank you



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