Re: G2 update
Posted by
Neil P Firth on
Jun 13, 2004; 5:19am
URL: http://quantlib.414.s1.nabble.com/Re-G2-update-tp3003p3004.html
Hi,
I have to say that I'm not an expert on IR methods, but I have read some
stuff on using Levenberg-Marquardt Nonlnear least squares to do the
calibration to swaptions. Google on: levenberg swaption calibration. Could
also try global Newton methods. I read on wilmott.com that the NR L-M
method is flawed, but I don't know whether that is true or not....
Neil
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Neil Firth
Brasenose College Oxford OX1 4AJ United Kingdom
Office: 01865 280616
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