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Is there a code sample for using solver to calculate the discount rate for NPV calculation?
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quant wrote:
Is there a code sample for using solver to calculate the discount rate for NPV calculation?
As single problem this could be solved with the non-linear solver, but you will need to calculate derivatives as there is no automatic differentation. As part of an LP, MIP or CSP problem this is probably not possible: the problem is nonlinear. With some effort approximations can be developed for these environments. In Excel there is a function IRR to calculate the irr (internal rate of return). You can also use the Excel solver (not solver foundation), which can handle nonlinear problems. ---------------------------------------------------------------- Erwin Kalvelagen Amsterdam Optimization Modeling Group erwin@amsterdamoptimization.com http://amsterdamoptimization.com ----------------------------------------------------------------
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I thought solver foundation also handle non-linear programming? Is it not the case? Any plug-in support non-linear solver? I am currently doing this calculation in Excel using Excel solver, but want to do this in .Net c++ program. Appreciate your help.
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Solver Foundation can handle unconstrained non-linear problems. This is done with Compact Quasi Newton (CQN) solver which implements an L-BFGS algorithm.
For documentation see Documents\MSF-SolverProgrammingPrimer.docx in your installation directory. There is a C# sample in “User Documents directory\Microsoft Solver Foundation\Samples\Solvers\C#\NLP” - you should be able to adapt it to managed C++ without too much trouble.
There is currently no plug-in support for NLP.
Hope it helped.
-Shahar
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