Posted by
piers august on
Apr 07, 2009; 8:37am
URL: http://quantlib.414.s1.nabble.com/polynomial-fitting-with-LeastSquareProblem-CurveFitting-cpp-tp7378p7380.html
Thanks alot Bojan,
Seems fine, output below.
rgds,
Piers
Optimal values : [ 0.147014; 0.057302; 0.249964; 0.148556 ]
Optimal values : [ 0.147014; 0.057302; 0.249964; 0.148556 ]Solution values : [ 0.147014; 0.057302; 0.249964; 0.148556 ]Solution Error : [ -3.67345e-13; 2.74405e-13; 6.97664e-13; 1.66672e-13 ]
> To:
[hidden email]> CC:
[hidden email]> Subject: Re: [Quantlib-users] polynomial fitting with LeastSquareProblem / CurveFitting.cpp
> From:
[hidden email]> Date: Tue, 7 Apr 2009 09:09:41 +0100
>
>
> Hi Piers,
>
> The problem is that you are mixing the example which was originally
> called CurvedFitting.cpp with the current implementation of
> least-square-fitting in QuantLib which is significantly different. For
> example, LeastSquareProblem is not a template class and this is why
> you get the first error that you do get. There are a few other
> adjustments that need to be made:
>
> * No need to define operator<<
>
> * Need to supply a constraint for the LeastSquareProblem
>
> * targetValueAndGradient not targetValueAndfirstDerivative
>
> * size_t or QuantLib::Size not int
>
> I've put the modified example that does compile and seems to work at
> the following address:
>
> http://www.bnikolic.co.uk/blog/ql-fitting-curves.html
>
> Best,
> Bojan
>
> --
> Bojan Nikolic || http://www.bnikolic.co.uk
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