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Compiling LevmarSharp (Visual Studio 2010)

Prerequisites:

-Visual Studio 2010

-levmar 2.6 (http://users.ics.forth.gr/~lourakis/levmar/)

-levmarsharp (https://github.com/AvengerDr/LevmarSharp)


For a recent research project we needed to solve an optimization problem. In specific we were trying to reproduce the results in the paper “A Generalized Procedure for Building Trees for the Short Rate and its Application to Determining Market Implied Volatility Functions” by Hull and White. In the paper it is described how a lattice can be constructed and calibrated to market. The calibration is essentially an optimization problem where the difference between the discount factors (or interest rates) observed in the market and the discounts generated in the model is made as small as possible by varying the model parameters.

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Compiling Levmar using NMake (Visual Studio 2010)

Prerequisites:

-Visual Studio 2010 which comes with NMake

-levmar 2.6 (http://users.ics.forth.gr/~lourakis/levmar/)


For a recent research project we needed to solve an optimization problem. We considered using levmar by Lourakis. Not having touched C or build code using Make for a while it took a little while to get everything setup and building. In this blog the steps needed will be described. Should you run into trouble please consider the troubleshooting section at the end of this post. If you are interested in using levmar in C# check out this blog post.

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