Patches item #3102452, was opened at 2010-11-03 13:16
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
>Assigned to: Luigi Ballabio (lballabio)
Summary: GARCH calibration
Initial Comment:
Re-designed GARCH volatility model with calibration proposed. Calibration is based on two types of initial approximation and employs simplex optimization method as a default. An ability to provide a user defined optimization method, end criteria and initial guess are also included. More details and examples of use can be found in the attached QuantLib test suite unit.
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Comment By: Luigi Ballabio (lballabio)
Date: 2012-11-13 04:21
Message:
The patch was applied (with some modifications) to the code repository.
It will be included in next release.
Thank you.
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