Patches item #3102452, was opened at 2010-11-03 16:16
Message generated for change (Tracker Item Submitted) made by shlagbaum
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3102452&group_id=12740Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
Assigned to: Nobody/Anonymous (nobody)
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.
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3102452&group_id=12740------------------------------------------------------------------------------
The Next 800 Companies to Lead America's Growth: New Video Whitepaper
David G. Thomson, author of the best-selling book "Blueprint to a
Billion" shares his insights and actions to help propel your
business during the next growth cycle. Listen Now!
http://p.sf.net/sfu/SAP-dev2dev_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
