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Levmar Excel version 1.1 released

We are happy to announce that a new version of Levmar Excel has been released. This version exposes more functionalities from the original levmar package to Excel.

New in this version is the ability to pass a VBA class (i.e. object) as extra parameter to LevmarExcel. This object can contain extra information needed to evaluate the error function. This addition offers a lot of extra flexibility using the package. Complex object models can now be passed as arguments to be used for the evaluation of the error function (the error function can be only a thin wrapper for the “real” error function in the object).

The latest version of Excel Levmar is available here. The package contains the example “demo_vba_object.xlsm” which shows how to use this new functionality. The example contains a module with some code to build the LevmarExcelSolver object. Continue reading

Generalized Procedure for Building Short Rate Trees in Excel / VBA

In their 2014 paper John Hull and Alan White derive generalized method for the construction of short rate trees. This generalization is interesting as it allows for one tree (or lattice) construction algorithm for all one factor short rate models. The only difference between the various models is the function H(x,t), which is explained briefly here and in detail in the paper. Continue reading

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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