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objfun
2009 Feb 05
2
Non-linear optimisation
...ialists out there, I would appreciate your help in
doing the exact same optimisation in R.
I suspect I would use nlm() in R but am not sure where to define my
constraints.
I have attached my Matlab code below for reference.
Many thanks.
Constraints
function [c,ceq]=TriskellConstraints(X)
global objFunc_vol;
[a,b] = objFunc_vol(X);
c(1) = b-6.5;
c(2) = std(X(:))-6.5;
ceq = [];
end
Optimise
global objFunc_vol
objFunc_vol = @(C) compute_strategy_before_fees(prices, C, floor, cap,
m_ret_reb, prices_TR, hedge_fund, vg, euribor, last_reb_date, Maturity,
fixed_fees, var_fees);
objFunc_vol(C);
objFunc...