Posted by
Aurelien Chanudet-2 on
URL: http://quantlib.414.s1.nabble.com/solving-n-euqations-with-n-unknowns-tp3696p3701.html
Thanks for the hint. I've already tried "Numerical
Recipes in C". Most of the algorithms I tested
converges but, to my understanding, only constrained
free problems are tackled here. What I'm interested in
is constrained minimization. By the way, what I'm
trying to implement is described in :
Interest Rate Modelling
Jessica James and Nick Webber
Wiley
p. 436
(A good reference, despite numerous typos.)
> 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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>
>
>
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