Re: Quantlib's equivalent of Matlab's lsqnonlin
Posted by
nabbleuser2008 on
URL: http://quantlib.414.s1.nabble.com/Quantlib-s-equivalent-of-Matlab-s-lsqnonlin-tp6162p6165.html
specifically, I have the following initial guesses for the parameters,
Real v0 = 0.14;
Real kappa = 1.32;
Real theta = 0.35;
Real sigma = 0.2;
Real rho = 0.4;
Then, in my code I do (which is cut and paste from test-suite/hestonmodel.cpp
LevenbergMarquardt om(1e-8, 1e-8, 1e-8);
hestonModel->calibrate(options, om, EndCriteria(400, 40, 1.0e-8, 1.0e-8, 1.0e-8));
the program outputs the following messages saying "root not bracketed". output attached. Could you pls help me interpret these messages so I can change my initial parameters or any other parameters so I can get a good calibration.
At the end of the calibration I get the following values for the heston parameters:
theta = 0.600356
kappa = 3.37307
sigma = 0.00585459
rho = 0.27113
v0 = 0.284722
Thank you very much.
CJ
output.txt