term structure fitting

zeta · February 2nd, 2006, 4:42 pm

Is this ever a non-linear optimization problem where anneal is justified, or is it generally a quadratic programming problem?

CaptainFuture · February 6th, 2006, 11:14 am

This is a non-convex quadratic program. If you do not have any other code at hand, simulated annealing is ok. Nevertheless, I suggest to take the time and look for an appropriate global optimization code with guaranteed convergence. And further, use a local optimizer to improve your "final" solution, especially when using SA.The following talk may be related to your question: Calibration of the Svensson Model to Simulated Yield Curves (see http://workshop.mathfinance.de/)

zeta · February 6th, 2006, 1:37 pm

Thanks a bunch

damel · May 10th, 2006, 8:37 pm

thanks CaptainFuturevery good link