Re: solving n euqations with n unknowns

Posted by Ashish Kulkarni-6 on
URL: http://quantlib.414.s1.nabble.com/solving-n-euqations-with-n-unknowns-tp3696p3698.html

IIRC splines are basically polynomials, thus an optimization (or more 
correctly, root-finding) algorithm designed specifically for polynomials 
would probably be better. "Numerical Recipes in C" is your friend -- 
chapters 9 and 10 are very good.

Wish you luck  :-)

------------------------------------------------------------------------
For every problem there is a solution which is simple, clean and wrong.
     -- Henry Louis Mencken

Aurelien Chanudet wrote:

> 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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