Root Finding - Bond Duration

Posted by Breig, Dr. Christoph (IDS GmbH) on Nov 10, 2010; 3:17pm
URL: http://quantlib.414.s1.nabble.com/Root-Finding-Bond-Duration-tp246.html



Hi all,

 

I want to understand the way how bond durations are calculated. Thus, I debugged QuantLib and found the underlying root finding iteration to compute bond yields. The code calls the root finding method "NewtonSafe" (ql/math/solvers1d/newtonsafe.hpp). Does anybody know which Root finding method (name of the method) is the exact underlying method?

 

Cheers and thanks,

Chris

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