Posted by
Luigi Ballabio on
Nov 18, 2010; 3:33pm
URL: http://quantlib.414.s1.nabble.com/Root-Finding-Bond-Duration-tp246p247.html
On Wed, 2010-11-10 at 16:17 +0100, Breig, Christoph (IDS GmbH) wrote:
>
> 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?
It's a combination of Newton-Raphson and bisection. You'll find the
details in Numerical Recipes in C <
http://www.nrbook.com/c/>, chapter 9.
Luigi
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