Regression problem

Posted by David Muldowney on
URL: http://quantlib.414.s1.nabble.com/Regression-problem-tp2691.html

Hi

I'm very new to QuantLib so forgive my innocence here.

My problem is a regression calculation, ex-post Alpha and Beta given a set of returns for a fund and a benchmark.

Calculating Beta and Alpha boils down to getting the best-fit line (min. least squares problem I guess) and then reading it's slope and intercept.

I've looked at the documentation and I think my best bet seems to involve LineSearch (in the Optimisation namespace), but I'm open to correction.

I'm doing the code in VB.Net but if anyone can give me an example of how this class (or ones more appropriate to my problem) are used (C++ / C# would do) I would be immensely grateful

Regards

David