On Aug 26, 2011, at 2:43 PM, Newbie wrote:
Dear R-users
I am trying to "vectorize" a function so that it can handle two
vectors of
inputs. I want the function to use phi (a function), k[1] and t[1]
for the
first price, and so on for the second, third and fourth price.
? mapply
I tried to do
the mapply,
Oh, you thought of that.
but I dont know how to specify to R what input I want to be
vectors (k and t)(see in the bottom what I tried). I have read the
help
file, but I still dont understand how to do it properly. Also, I've
tried to
use sapply (which seems totally wrong). However, the function uses
k[1] for
t 1 to 4, and thereby returns 16 different values instead of just 4.
Huh?
Can anyone tell me how to do this - I know the answer is simple, but
I dont
understand how
I think the problem is (at least) slightly more complex than you first
described. You should spend more time describing in unambiguous
language the conditions and operations. Keep reading.
Thank you for your time
Kinds Rikke
#------ Characteristic function of the Heston model -----#
phiHeston <- function(parameters)
{
lambda <- parameters[1];
rho <- parameters[2];
eta <- parameters[3];
theta <- parameters[4];
v0 <- parameters[5];
function(u, t)
{
alpha <- -u*u/2 - 1i*u/2;
beta <- lambda - rho*eta*1i*u;
gamma <- eta^2/2;
d <- sqrt(beta*beta - 4*alpha*gamma);
rplus <- (beta + d)/(2*gamma);
rminus <- (beta - d)/(2*gamma);
g <- rminus / rplus;
D <- rminus * (1 - exp(-d*t))/ (1 - g*exp(-d*t));
C <- lambda * (rminus * t - 2/eta^2 * log( (1 - g*exp(-(d*t)))/
(1 - g)
) );
return(exp(C*theta + D*v0));
}
}
Price_call <- function(phi, k, t)
{
integrand <- function(u){Re(exp(-1i*u*k)*phi(u - 1i/2, t)/(u^2 +
1/4))};
res <- 1 - exp(k/2)/pi*integrate(integrand,lower=0,upper=Inf)
$value;
return(res);
}
subHeston <- c(0.6067,-0.7571,0.2928,0.0707,0.0654);
kV <- c(0.9,1,1.2,1.3)
tV <- c(0.1,0.4,0.5, 1)
HestonCallVec <- function(phi, kVec, t)
{
sapply(kVec, function(k){Price_call(phi, k, t)})
}
HestonCallVec(phiHeston(subHeston), kV, 1)
subHeston <- c(0.6067,-0.7571,0.2928,0.0707,0.0654);
kV <- c(0.9,1,1.2,1.3)
tV <- c(0.1,0.4,0.5, 1)
HestonCallVec2 <- function(phi, kVec, tVec)
{
sapply(tVec, function(t){HestonCallVec(phi, kVec, t)})
}
HestonCallVec2(phiHeston(subHeston), kV, tV)
# This should give 4 values
Hmmmm, I get 16 values. Maybe you should put some more time into
understanding why it does not return the structure you expect.
phiHubHeston returns a function. Was that what you designed?
This is what I tried for the mapply function, which returns a list,
instead
of values.
HestonCallVec <- function(phi, kVec, t)
{
mapply(function(k, t){Price_call(phi, k, t)})
}
HestonCallVec(phiHeston(subHeston), kV, tV)
# This should give 4 values
This is what I get with the mapply call I would have expected for use
of a function which is what phiHeston(subHeston) returns:
> # This should give 4 values
> mapply(phiHeston(subHeston), kV, tV)
[1] 0.9973156-0.0029158i 0.9862950-0.0124475i 0.9752339-0.0178313i
[4] 0.9406358-0.0336025i
Whether these are the "right" 4 values is for you to determine.
--
David Winsemius, MD
West Hartford, CT
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