Re: G2 revisited

Posted by mike.parkerql on Jul 06, 2004; 4:32pm
URL: http://quantlib.414.s1.nabble.com/G2-revisited-tp2986p2987.html

Hi Luigi,

Yeah, I know you have a composite constraint but I was wondering how you would
implement a constraint like a+b <> 0 ? Can you do this with the current
constraint classes ?

Also, there may be other constraints that someone may wish to impose, on top
of the base constraints imposed by a particular model. e.g. I may want to
restrict the drift (not necessarily risk-neutral) to lie between certain
bounds. This points to an additional public interface.

Mike

p.s. I owe(?) some code for G2++ and simulated annealing. Apologies, but other
things have taken precedence. Are there any deadlines coming up?


Quoting Luigi Ballabio <[hidden email]>:

>
> Hi,
>
> On 2004.06.15 02:16, [hidden email] wrote:
> > I'm still leaning towards requiring some public constraint interface.
>
> You mean, other than the one provided for passing an additional  
> constraint to calibrate?
>
> > The contraints are hidden at the moment + it is difficult to add  
> > multiple constraints (my 2 australs).
>
> Well, the intrinsic constraints are hidden because they're not supposed  
> to be tampered with. When calling calibrate(), you can add an  
> additional constraint; multiple constraints can be collapsed into one  
> by using CompositeConstraint.
>
> > A model would have a list of constraints. A constraint would have a
> > constraint type (boundary, positive, none, addition, subtraction,  
> > multiplication etc.) and a parameter list (unary, binary).
> > Please let me know if I'm talking trash.
>
> No, it's not trash---but you can do it already.
>
> Later,
> Luigi
>
>
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