#55 GARCH calibration

closed-accepted
None
5
2012-11-13
2010-11-03
Slava Mazur
No

Re-designed GARCH volatility model with calibration proposed. Calibration is based on two types of initial approximation and employs simplex optimization method as a default. An ability to provide a user defined optimization method, end criteria and initial guess are also included. More details and examples of use can be found in the attached QuantLib test suite unit.

Discussion

  • Slava Mazur
    Slava Mazur
    2010-11-03

    garch.hpp

     
    Attachments
  • Slava Mazur
    Slava Mazur
    2010-11-03

    garch.cpp

     
    Attachments
  • Slava Mazur
    Slava Mazur
    2010-11-03

    test-suite

     
    Attachments
  • Slava Mazur
    Slava Mazur
    2010-11-03

    test-suite

     
    Attachments
  • Slava Mazur
    Slava Mazur
    2010-11-04

    changes to volatilitymodel.hpp

     
  • Luigi Ballabio
    Luigi Ballabio
    2012-11-13

    • assigned_to: nobody --> lballabio
    • status: open --> closed-accepted
     
  • Luigi Ballabio
    Luigi Ballabio
    2012-11-13

    The patch was applied (with some modifications) to the code repository.
    It will be included in next release.
    Thank you.