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Why do I get "have cash flows dates that span across tree nodes." error, when using swaptionbyhw
I am trying to calibrate hull white one factor model using volatility surface and zero curve I followed calibration procedu...
circa un anno fa | 0 risposte | 0
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risposteDomanda
Estimating the decay parameter in Exponentially Weighted Moving Average (EWMA) model
Given the data , ; I would like to like to estimate the decay parameter in Exponentially Weighted Moving Average (EWMA) model, ...
oltre 2 anni fa | 1 risposta | 0
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rispostaDomanda
The most efficient way to calculate multiplication and summation of two large matrices
Support I have two matrices and , I would like to calculate following: where matrix , and represent each columne of two m...
oltre 2 anni fa | 1 risposta | 0
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rispostaDomanda
Heteroscedasticity and autocorrelation consistent covariance estimators for linear regression with equality constraints
I have a linear regression because is not full colume rank, there is a additional equality constraint: . I can solve above ...
oltre 2 anni fa | 1 risposta | 0
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Hypothesis Tests for Constrained Linear Regression
Hi, I would like to do the hypothesis test for the following linear regression with equality constrants to exam the significance...
quasi 3 anni fa | 1 risposta | 0
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rispostarenaming variable loaded from a file
use the command: newname = struct2cell(load(filename)); newname=newname{1}; you don't even need to know the original variable ...
oltre 3 anni fa | 1
Domanda
How to define an objective function in the fmincon?
I would like to solve a large scale non-convex QCQP problem using fmincon, such that min_x x.'H*x s.t. x.'*R*x = 1 ...
quasi 4 anni fa | 1 risposta | 0
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rispostaDomanda
Parfor is running much slower on a 18-core PC than a 10-core PC
I am currently running a compute-intensive financial trading test; the test has 503 independent loops. I have two PCs in my offi...
circa 4 anni fa | 0 risposte | 0
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Quadprog solver stalled, constraints satisfied.
H is a 400 x 400 symmetric matrix, when I use quadprog(H,-f, Aieq, zeros(PreL_max,1),[],[],[],[],[],optimoptions('quadprog','Di...
oltre 4 anni fa | 1 risposta | 0
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rispostaDomanda
numerical problem of quadprog
Hi, I am trying to solve a badly scaled quadprog problem H = [5e15, -1.66e15, 1.02e9, -1.23e10; -1.66e15, 1....
oltre 4 anni fa | 0 risposte | 0
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risposteDomanda
Confidence intervals of linear multiple regression
Considering following linear multiple regression model: where observations , coefficents and is a white Gaussian noise term...
oltre 4 anni fa | 0 risposte | 0
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risposteDomanda
Rank one decomposition of a positive semi-definite matrix with inequality trace constraints
Suppose there is a square matrix and a positive semi-definite matrix , such that Is there any ways I could do the rank one d...
oltre 4 anni fa | 1 risposta | 0
1
rispostaDomanda
Given two probability density functions and correlation matrix, how to generate two correlated random sequences?
Given two probability density functions: * "ExponentialPower": px = exp( -0.5*abs((x-mu)/sigma).^(2/(1+beta) ))/( 2^((3...
circa 7 anni fa | 1 risposta | 0
