maximise a function and find paramete
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Hi everybody,
i want to find lambda (single value) that determines the maturity at which the function achieves its max
((1-exp(-lambda*gmaturities))./(lambda*gmaturities)-exp(-lambda*gmaturities))
my code is
F=@(lambda)[((1-exp(-lambda*gmaturities))./(lambda*gmaturities)-exp(-lambda*gmaturities))];
lambda0=0.0609;
lambda=fsolve(F,lambda0)
and i got lambda = 1.005283084116551e+03,i know this is not correct
could you please help me?
gmaturities=[6;12;24;36;48;60;72;84;96;108;120;180;240]
采纳的回答
Walter Roberson
2020-5-16
gmaturities = [6;12;24;36;48;60;72;84;96;108;120;180;240]
F = @(lambda) -(((1-exp(-lambda*gmaturities))./(lambda*gmaturities)-exp(-lambda*gmaturities)));
lambda0 = 0.0609;
lambda = gamultiobj(F, lambda0)
The result will be a vector of values, because you are trying to maximize 13 equations at the same time -- each of the values of gmaturies effectively defines another equation, so you are asking to maximize the equations simultaneously.
I suspect you want something more like
gmaturities = [6;12;24;36;48;60;72;84;96;108;120;180;240];
lambda0 = 0.0609;
lambda = arrayfun(@(GM) fminsearch(@(lambda) -(((1-exp(-lambda*GM))./(lambda*GM)-exp(-lambda*GM))), lambda0), gmaturities);
3 个评论
masoumeh solgi
2020-5-16
编辑：masoumeh solgi
2020-5-16
Walter Roberson
2020-5-16
Your function has 13 values because your maturities is a vector. No one lambda can maximize it all simultaneously.
The code I posted second optimizes for each individual maturity value.
masoumeh solgi
2020-5-16
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