Re: [Quantlib-users] G2 update

[Neil P F. <fi...@ma...>]

Hi,

I have to say that I'm not an expert on IR methods, but I have read some
stuff on using Levenberg-Marquardt Nonlnear least squares to do the
calibration to swaptions. Google on: levenberg swaption calibration. Could
also try global Newton methods. I read on wilmott.com that the NR L-M
method is flawed, but I don't know whether that is true or not....

Neil


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  Neil Firth
  Brasenose College Oxford OX1 4AJ United Kingdom
  Office: 01865 280616
  fi...@ma...
  http://www.maths.ox.ac.uk/~firth
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