Hi all,
I have a problem in calibrating a short rate model.
Suppose you want to calibrate a model keeping fixed one of the parameters:
for instance in the G2 model it could be useful to set correlation to a fixed value.
But how can I manage it?
the way the calibration procedure updates parameters is in the class Constraint in the
update(...) function.
The problem is that this function cannot be used from derived classes.
Has anyone had the same problem? any ideas?
I tried also to add an Array to the base class ConstraintImpl or Constraint
in order to know what to update and what not.
But I got strange run time errors in the ShortRateModel::PrivateConstraint class
Specifically: the test function of this class was not able to retrieves the size of the arguments_ vector
The fact is that it looses information from the instantiation (which was correct)
to the calling of the test() function.
But I do not know why.
Could it be related to the Bridge class.
thanks in advance
enrico
____________________________________________________________
6X velocizzare la tua navigazione a 56k? 6X Web Accelerator di Libero!
Scaricalo su INTERNET GRATIS 6X
http://www.libero.it
Locked
