As newcomer to Alglib I attempted to install the package from my VS 2013 C++ environment using “Manage NuGet Packages”, which guided me to alglibnet2.0.0.0. The installation process initially appeared to be successful but then it did not work. Typically, I do not find include files or the test cpp routines. Where are these files since it said everything is successfully installed?
The explanation probably lies with the fact that the package only works in a .net environment despite the description explicitly mentioning C++ - does it need perhaps an additional setting, which a friendly forum member may tell me. The packages.config file says: <package id="alglibnet2" version="0.0.0" targetFramework="Native" />.
As I would like to debug what I program a friendly forum member may tell me also how I can access values of e.g. real_1d_arrays, and also how I can set values to a real_1d_arrays without quotation marks as shown in the examples..
I want to use Levenberg Marquardt to calibrate a Nelson-Siegel-Svensson term structure calculation to – say – 50 separate points Time/Yield. The Nelson-Siegel-Svensson Function is a function of time and has 6 parameters. The sum of squares of the differences of market yields and the value, which the Nelson-Siegel-Svensson Function assumes at this time point. My understanding is that I need to set up 50 functions, one for each time point. Did anybody use alglib for this quite classic problem?
Thanks for any help, Harald
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