Thanks a lot Joe. Will try the "try"-trick... I only now realize that my question has been asked before: https://stat.ethz.ch/pipermail/r-sig-finance/2010q4/006900.html Sorry about that.
This also seems to be related http://dirk.eddelbuettel.com/blog/2012/10/25/ Joachim Am 25.09.2014 13:00, schrieb Joe W. Byers:
On 09/25/2014 04:47 AM, Joachim Breit wrote:Hi, I am struggling with the GBSVolatility function. I have a huge dataframe 'd' with options market data and want to add a column with the implied volatility computed from the ask price. When invoking GBSVolatility with a single line of the dataframe everything works fine. But when feeding the columns of the dataframe into GBSVolatility I get an error message. To tackle the issue I took a mini-dataframe 'dtemp' with only two rows (arbitrary subset of the original d) ## mini-dataframe ######################################## > dtemp <- d[515:516,] > dtemp strike cp ask bid c ntd rb iva 1081 50 c 16.17 15.37 65.79 32 0.00384 1e+09 1083 51 c 15.17 14.37 65.79 32 0.00384 1e+09 ## invoking with the entire mini-dataframe #################### > dtemp$iva <- GBSVolatility(price = dtemp$ask, TypeFlag = dtemp$cp, S = dtemp$c , X = dtemp$strike, Time = dtemp$ntd / 253.8, r = pmax(dtemp$rb, 0), b = pmax(dtemp$rb, 0)) Fehler in uniroot(.fGBSVolatility, interval = c(-10, 10), price = price, : ungültiger Funktionswert in 'zeroin' Zusätzlich: Warnmeldungen: 1: In if (is.na(f.lower)) stop("f.lower = f(lower) is NA") : Bedingung hat Länge > 1 und nur das erste Element wird benutzt 2: In if (is.na(f.upper)) stop("f.upper = f(upper) is NA") : Bedingung hat Länge > 1 und nur das erste Element wird benutzt 3: In if (f.lower * f.upper > 0) stop("f() values at end points not of opposite sign") : Bedingung hat Länge > 1 und nur das erste Element wird benutzt ## invoking with the first row of the mini-dataframe ############### > dtemp <- d[515:515,] > dtemp$iva <- GBSVolatility(price = dtemp$ask, TypeFlag = dtemp$cp, S = dtemp$c , X = dtemp$strike, Time = dtemp$ntd / 253.8, r = pmax(dtemp$rb, 0), b = pmax(dtemp$rb, 0)) > dtemp strike cp ask bid c ntd rb iva 1081 50 c 16.17 15.37 65.79 32 0.00384 0.5340467 ## invoking with the 2nd row of the mini-dataframe ############### > dtemp <- d[516:516,] > dtemp$iva <- GBSVolatility(price = dtemp$ask, TypeFlag = dtemp$cp, S = dtemp$c , X = dtemp$strike, Time = dtemp$ntd / 253.8, r = pmax(dtemp$rb, 0), b = pmax(dtemp$rb, 0)) > dtemp strike cp ask bid c ntd rb iva 1083 51 c 15.17 14.37 65.79 32 0.00384 0.5030617 Can somebody please help? I am going crazy... JoachimJoachim Try something like this. I have this in an automated task calculating Energy IV's every day. res is a dataframe of option characteristics. I use a Try statement for basic error trap. This is rough but works. # need to error trap options that will not return a valid Vol. This occurs at # option strikes close to zero and short time to expiraton. done = F; idx = as.logical(matrix(1, nrow=dim(res)[1],ncol=1)) ; res$IV = NaN; #initialize all IV's to NaNs while( !done){ try({ cat('impliedVolatilityCurve: calculator trying\n') res$IV[idx] = mapply(GBSVolatility,price=res$Settle[idx], TypeFlag=lowerCase(res$Type[idx]), S=res$Underlying[idx], X=res$Strike[idx], Time=as.numeric(res$Texp[idx]), r=res$RFRate[idx], b=0, tol=10e-3, maxiter=300, USE.NAMES=T); done = T; cat('impliedVolatilityCurve: calculator completed try\n') })#, silent=T) if (!done){ idx = res$Strike>1.00; } } This works for what I needed. I set the tolerance to 10e-3 because prices are quotes in 3 decimal places and this is an estimated parameter so it is close enough. The last if(!done) traps strikes less than a 1.00 for energy commodities. This will need to be modified for other option markets. Good Luck Joe
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