question on discountcurve fitting method

[Guowen Han]

Anyone know if there is any  particular reason for using Simplex method in FittedBondDiscountCurve class?

 

Thanks,

 

 

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[Bojan Nikolic]

"Han, Guowen" <[hidden email]> writes:

> Anyone know if there is any  particular reason for using Simplex method in FittedBondDiscountCurve class?


Probably a combination of:

- Simplex does not require derivatives (the Minpack LevenbergMarquardt
  used in QuantLib does not require them either but they are estimated
  internally by finite differences)

- It is slightly more robust to local minima compared to minimisation
  algorithms based on a current and trial point

Best,
Bojan


--
Bojan Nikolic          ||          http://www.bnikolic.co.uk

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