[R] problem applying .C function in outer product
Jim McLoughlin
jimmcloughlin at earthlink.net
Thu Mar 13 00:02:15 CET 2003
Hi folks
I'm relatively new to R, and am having some problems using a c function
I'm calling.
The function is loaded, and it works for when given specific (scalar)
arguments, but does not work when passed Vector arguments, and
therefore fails in the outer product I need.
Here are the details:
the C function, where the last argument is used to return the value I
need (price):
/*
* Wrapper for use in R - requires that return value by passed via
argument
*/
void blackScholesR( double *S, double *K, double *r, double *T, double
*volatility, double *price)
{
*price = blackScholes(*S, *K, *r, *T, *volatility);
}
The function definition in R:
blackS <- function(S,K,r,T,vol){
tempx <- .C("blackScholesR",
as.double(S),
as.double(K),
as.double(r),
as.double(T),
as.double(vol),
as.double(0.0))
as.double(tempx[6])
}
This function returns the appropriate value for constant vals, example:
> blackS(52,50,0,0.5,0.43)
[1] 7.213387
but fails if I use vector arguments for S or T. I ultimately want to
create an outer product varying both S and T and graph the surface.
For example, given
> T
[1] 0.00000000 0.03571429 0.07142857 0.10714286 0.14285714 0.17857143
[7] 0.21428571 0.25000000 0.28571429 0.32142857 0.35714286 0.39285714
[13] 0.42857143 0.46428571 0.50000000
I get
> blackS(52,50,0,T,0.43)
[1] 2
2 is the right answer for the first value of T, but it should produce
an entire vector of values for all possible T. I assume here is a
problem with my return value in the R function blackS. I tried return
tempx[6] without casting casting to double. This gives similar
results, except it seems to be a vector embedded in a list:
blackS(52,50,0,0.5,0.43)
[[1]]
[1] 7.213387
I'm probably making an obvious mistake, but am at an impasse. Any help
greatly appreciated
regards
Jim M
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