[Quantlib-dev] [ quantlib-Patches-3102452 ] GARCH calibration

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Patches item #3102452, was opened at 2010-11-03 16:16
Message generated for change (Tracker Item Submitted) made by shlagbaum
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
Assigned to: Nobody/Anonymous (nobody)
Summary: GARCH calibration

Initial Comment:
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.

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