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From: Amine I. <ami...@gm...> - 2021-01-19 11:37:07
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Hi all, I am trying to use a classic Least Squares minimisation in QL. I came across the Least Sq cost function, and the value() method of this cost function makes a call to targetAndValue() method which is implemented in the FitAcfProblem class. I guess this has to do with the AutoCorrelationFunction implementation of Garch in the library. I would be grateful if someone could explain to me the logic behind the design, as all I want to use is a simple Least Squares regressor to calibrate certain parameters in a model. Do I maybe have to write a customised CostFunction? Thanks for your help, Amine N.B: I am using an old version of QuantLib (1.9.2) |