search for: minizim

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2011 Aug 16
2
Calibrating the risk free interest rate using nlminb
...00001 $objective [1] -395.85 $convergence [1] 0 $iterations [1] 2 $evaluations function gradient 3 4 $message [1] "relative convergence (4)" # But the risk free interest rate should not be negative, and the objective function gives an negative values when in should be minizimed to 0. # I then try adding the following to nlminb, as I understand it to set the objective function to non-negative nlminb(start=r, f, control = list(rel.tol=1e-20)) $par [1] 0.02 $objective [1] 0 $convergence [1] 1 $iterations [1] 0 $evaluations function gradient 0 0 $mes...