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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