Re: solving n euqations with n unknowns

Posted by Aurelien Chanudet-2 on
URL: http://quantlib.414.s1.nabble.com/solving-n-euqations-with-n-unknowns-tp3696p3697.html

Hi,

I have myself implemented a BSpline interpolated term
structure class but haven't yet contributed the code
back because none of QuantLib numerical constrained
optimisation methods seem to achieve satisfactory
results in a reasonnable time (although Excel's solver
does). When time permits, I'm planning to enhanced the
built-in optimisation method. Any feedback or pointers
on this is appreciated.

Aurelien

> Hi,
>  
> I would like to implement a method with cubic
> interpolation for an an interest curve so I need to
> get
> a newton Raphson algorithm to do that.
>  
> Do you know if there is this algorithm in quantlib
> or a solver wich takes my equations and my unknowns
> ?
>  
> regards,
> belak

       

       
               
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