lsqcurvefit where function changes for every y

Kim Madsen

2012 3 28

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更新时间：2021 8 20

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I would like to do something like this

f = @(lambda, x) obj.tranchePrice(lambda, x, groupings);
[x, resnorm, residual] = lsqcurvefit(f, x0, xdata, obj.cdoTrancheData);

and the function

function price=tranchePrice(obj, lambda, ~)
   ... bla bla
   % Then I need to know which tranche I am in. 
   % I.e the index of the y in the provided data is currently tested, 
   % because the tranches has different attachment and detachment points, 
   % which makes the following calulations hard.
   for k=1:n
      defaultLeg = cdoDefaultLeg(k, n, normAttach, normDetach)
      protectionLeg = obj.cdoProtectionLeg(defaultLeg, normAttach, normDetach)
      ...
   end
end

So there is one atachment and detachment point for every y provided in the lsqcurvefit function. But I dont know how I find the right points when in the tranchePrice function.