quadratic programming

[Mark joshi-2]

Dear All,

I have an idea how to reduce the LMM calibration to a quadratic
programming question.
So

1) is there any quadratic programming in quantlib already?
2) does anyone know anything about it?
3) does anyone have any views on how it ought to be done?

The problem is pretty simple: solve a couple of quadratics in
n-variables, whilst minimizing a third.


best

mark


--
Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

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[Luigi Ballabio]

On Mon, 2007-05-07 at 10:07 +1000, Mark joshi wrote:
> 1) is there any quadratic programming in quantlib already?
> 2) does anyone know anything about it?
> 3) does anyone have any views on how it ought to be done?

I can answer the first one: no, there isn't.

Later,
        Luigi


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[Alan King-3]

It may be too heavy-weight for your application, but there is a high-quality open-source optimization project at http://www.coin-or.org/.  Mark's email suggests quadratic constraints are required.  If this is the case, then probably you would need the IPOPT package.  Check it out and if its unclear and you want to know more I'd be happy to make the introductions.

Alan

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