IRFunctionCurve and resulting objective function value
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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
3 Commenti
Torsten
il 18 Ott 2022
Maybe you have different releases for MATLAB basic package and the Financial Toolbox ?
Risposte (1)
Ravi
il 29 Dic 2023
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.
Thanks,
Ravi
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