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

[SourceForge.net <no...@so...>]

Patches item #3102452, was opened at 2010-11-03 13:16
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3102452&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
>Assigned to: Luigi Ballabio (lballabio)
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.

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2012-11-13 04:21

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


----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3102452&group_id=12740