IRFunctionCurve and resulting objective function value

Hello, I'm using the class IRFunctionCurve out of financial toolbox. With the method fitFunction I calibrate an IRCurve to existing bond data. I'm interested in the result value of the optimisation (either lsqnonlin or fmincon). Both optimisation functions would provide the resulting value of the objective function but the value is not taken into a variable (see second output:

Lines 566-570 of IRFunctionCurve.m

if strcmpi(FitOptions.OptimFunction,'lsqnonlin')

[Params,~,~,exitflag] = lsqnonlin(@costfun,x0,lb,ub,options);

else

[Params,~,exitflag] = fmincon(@(x) norm(costfun(x)),x0,A,b,[],[],lb,ub,[],options);

end

Is it possible to get the objective function value in another way? If not, could this be added in a later release?

Many thanks

[Torsten]

[x,resnorm,residual,exitflag,output,lambda,jacobian] = lsqnonlin(___)

thus in your case

[Params,resnorm,~,exitflag] = lsqnonlin()

[x,fval,exitflag,output,lambda,grad,hessian] = fmincon(___)

thus in your case

[Params,resnorm,exitflag] = fmincon()

[Torsten Beer]

I agree, but the code was from Financial Toolbox/IRFunctionCurve, so this would need to be implemented by Mathworks, Otherwise I would have to duplicate the function.

[Torsten]

Maybe you have different releases for MATLAB basic package and the Financial Toolbox ?

Answer 1

[Ravi]

Hi Torsten Beer,

You can use the following function syntax for “lsqnolin” to obtain the value of the optimization function.

[x,resnorm,residual,exitflag,output] = lsqnonlin(___) 

Here, “resnorm” gives the value of the residual sum of squares at the solution “x”, and “residual” gives the residual “costfunction(x)”, the optimization function value at the solution.

For “fmincon” function, you can use the following simple syntax.

[x,fval] = fmincon(___) 

Here, “fval” contains the value of the objective function at the solution “x”.

To learn more about “lsqnolin” and “fmincon” functions, please refer to the following links.

lsqnolin – https://www.mathworks.com/help/optim/ug/lsqnonlin.html

fmincon – https://www.mathworks.com/help/optim/ug/fmincon.html

Thanks,

Ravi