Hi, I'm trying to understand how to price a CMS Instrument. Can anybody help me out?Best Regards

Hi, I'm trying to figure out how to price a CMS Bond that pays an annual coupon like Max[10yCMS;0]. Can anybody help me out?bye

Got ur same problem even though i'm trying to use wishart 4 another purpose! if i'll be enlighted i'll let u know! by the way even in the discrete time the matrix it's positive definite! there must be something wrong in our routines dammit!take care

hi! does anybody have an M-file that computes the volatility surface of a vanilla option?best regards

Does anybody know something about the "QROMO" integration routine? is it a quadrature procedure?best regards

<t>Thanx for the tip!i have the initial parameters vector x = [.00000502 .589 .00000132 421.39 .2]so i've created a new M-File that computes nonlconfunction [c ceq] = lcon(x)c=x(2)+x(3)*(x(4)^2)-1;ceq=[];and then I insert this contraint in FMINCON as follows (this is the maximization M-file)function...

thanx i really appreciated it!

hi,i have to find the maximum of a given constrained function but i have also a nonlinear constraint, something like a*b^2<1. Fmincon accepts just linear constraint so i don't know how can i add the non-linear inequality!any suggestion?

hi, i'm working on the heston-nandi (1999) paper. I have to find the maximum of the log likelihood function but if i use fmincon the algorithm get stuck in local maxima! if i change the starting points things don't improve that much! any suggestion?regards

hi, i'm working on the heston-nandi (1999) paper. I have to find the maximum of the log likelihood function but if i use fmincon the algorithm get stuck in local maxima! if i change the starting points things don't improve that much! any suggestion?regards

<t>hi, i have a problem with fmincon, i'm trying to estiamate the parameters of Heston-Nandi 1999, page 588 and more specifically i have to maximize a given log-likelihood function. the problem is that when i recall fmincon i never have the same set of output parameters! it seem the algorithm can't ...

<t>hi, i have a problem with fmincon, i'm trying to estiamate the parameters of Heston-Nandi 1999, page 588 and more specifically i have to maximize a given log-likelihood function. the problem is that when i recall fmincon i never have the same set of output parameters! it seem the algorithm can't ...

i've downloaded the the toolbox yet but i have the same problem using the m-file multigarch.m! my matlba does't seem to recognise the c++ routine tarchcore....any suggestionregards

thanx a lot

hi! Where can i find the J.P.LeSage Library ?best regards