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Re: [Quantlib-users] solving n euqations with n unknowns

Posted by Adjriou Belak on Mar 30, 2005; 3:42am
URL: http://quantlib.414.s1.nabble.com/Re-Quantlib-users-solving-n-euqations-with-n-unknowns-tp10771.html

Hi Ashish,
thanks for your answer,
 
I'm trying to solve non linear equations. Actually I want to find zero rates  which fit bond Prices but I would like to smooth the curve by making a cubic interpolation. So I can't bootstrap because the current bond needs the next bond with a maturity higher than itself.
 
Thanks a lot.
I would like to integrate Newton-raphson algorithm to quantlib.
 
 
 

Ashish Kulkarni <[hidden email]> wrote:
AFAIK QuantLib doesn't have a N-dimensional solver. Building such a 
solver is a non-trivial task, to say the least  :-)

Section 9.6 and 9.7 of "Numerical Recipes in C" has very good and highly 
technical discussions regarding the problem (and some implementations, too).

http://www.library.cornell.edu/nr/bookcpdf.html

GSL has quite a few N-dimensional solvers also but it's GPL, so it might 
or might not fit your requirements.

http://www.gnu.org/software/gsl/manual/gsl-ref_34.html

Hope this helps,
Ashish

------------------------------------------------------------------------
Honest disagreement is often a good sign of progress.
     -- Gandhi


> Hi,
>  
> I would like to implement a method with cubic interpolation for an an 
> interest curve so I need to get
> a newton Raphson algorithm to do that.
>  
> Do you know if there is this algorithm in quantlib or a solver wich 
> takes my equations and my unknowns ?
>  
> regards,
> belak

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