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Hi elfopposwe, if you're aiming to measure integrated vol you've answered yourself and you'll need to use tick data; the usual way we calculate realized vol. If all you have are close to close prices your calculated realized vol will be too wild. Either use a filter with something like the HRS...

I coded up a garch class in C# not too long ago that used either a Simplex or a heuristic search method, unfortunately I'm unfamiliar with OPT++. But if it helps here is my negative log likelihood (no mean eq): //NEGATIVE LOG LIKELIHOOD FUNCTION static public double...

I think a very simple solution works fine, why make it more difficult? [C# pseudocode] class Program { static Int16 x, y; static void Main(string[] args) { ///ask for (x,y) Console.Write("enter integer x: "); x =...

^ I'm wondering if that will compile though? Why not find the type limit and store it in say [z] Then for any values [x,y] type cast their absolute product to an able type and do a comparison with [z], if it's smaller, great, otherwise there's a problem

What are some of the advantages of python? Never used it myself.

ok, after a little more caffeine I wrote-up the Simplex method from NR. Now I'm just unsure on how to proceed with constraints. Do I go about it the same way as with upper/lower bounds? thanks,

Nothing prevents me from coding Powell's routine I'm just a little lazy and I imagine I wouldn't enjoy the experience anyway. I actually already have it within the VNI library, but like I said I need it deployable and licensed library's unfortunately are not. So if someone has done this and...

Hey Alain, as far as I'm concerned R is the greatest thing to come along since sliced bread. The reason is I need it to be deploy-able.

Hi all, Does anyone mind sharing the nelder-mead or powell method implemented in .Net? I've tried using the Nelder-Mead algorithm from numerical recipes but it's still a bit buggy and I'm not positive I'll be able to use it with constraints. Powell's method would be more ideal and I...

Hi viertelasiat, I'm not from the states so I won't give you career or MFE program advice. But on education if I were you I'd make sure to pick up as much math in your selected MFE program as possible. On programming, Matlab (Octave) or S-Plus (R) for data visualization Java or C# for Monte...

Sorry xbuster i read to much into your first sentence about being able to "optimize input parameters". Anyway, I don't recall coming across a library in CS with the performance measures you're looking for (why not write one?). There are a couple measures (Sharpe) in the "tseries" package in R...

Try the SolverFoundation? Microsoft Solver Foundation - Express Edition - Home

Well your best solution is to use the CS IMSL Library: IMSLCS The only downer is you won't be able deploy your solutions to other workstations. If that's a big deal for you, I recommend writing your own optimizer. I came across plenty of examples of the simplex, BFGS, metaheuristics out there.

i believe Mono should run on a Mac? But use what you can to get the job done.

I believe TNT has super-seeded LAPACK. May be wrong cos' i mostly use c#.