Life goes on and really luckily there are a lot of other alternatives obtainable. This time I wanted to present Alglib , which is supplying very impressive package of numerical stuff already in their non-industrial (totally free of charge) edition. In optimization category, there is Levenberg-Marquardt algorithm (LMA) implementation available, which can be utilised for multivariate optimization tasks. Within this post, I am re-publishing short interest rate model calibration scheme, but only using Alglib LMA for performing the actual optimization routine.
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