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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...

2 months ago | 0 answers | 0

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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, ...

1 year ago | 1 answer | 0

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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...

1 year ago | 1 answer | 0

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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 ...

1 year ago | 1 answer | 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...

2 years ago | 1 answer | 0

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answerrenaming 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 ...

2 years ago | 1

Question

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 ...

3 years ago | 1 answer | 0

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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...

3 years ago | 0 answers | 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...

3 years ago | 1 answer | 0

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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....

3 years ago | 0 answers | 0

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Confidence intervals of linear multiple regression

Considering following linear multiple regression model: where observations , coefficents and is a white Gaussian noise term...

3 years ago | 0 answers | 0

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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...

3 years ago | 1 answer | 0

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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...

6 years ago | 1 answer | 0