Posted by
Klaus Spanderen-2 on
URL: http://quantlib.414.s1.nabble.com/Quantlib-s-equivalent-of-Matlab-s-lsqnonlin-tp6162p6166.html
Hi
could you pls send me the complete test program.
cheers
On Wednesday 11 June 2008 19:13:00 cc2008 wrote:
> 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
http://www.nabble.com/file/p17782708/output.txt output.txt
--
Klaus Spanderen
Ludwig Erhard Str. 12
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