[R] RQuantlib

Joe Byers joe-byers at utulsa.edu
Tue May 23 03:08:44 CEST 2006


RQuantlib Experrs

I am trying to perform some analysis on a dataset of options.
I got RQuantlib to work using a for loop over my data.frame.  I tried 
the sapply, lapply, and other apply functions to no avial.

My first error occurs with the following
x<-sapply(X=atm.work,FUN=EuropeanOption, underlying = 
atm.work$For_Price, strike = atm.work$K,
            dividendYield = atm.work$BEY, riskFreeRate = atm.work$BEY, 
maturity = atm.work$t_exp,
            volatility = atm.work$sigma)
Note, the type= is not specified.  The function picks up my date column 
in the data.frame as the type= column.
 > x<-sapply(X=atm.work,FUN=EuropeanOption,underlying = 
atm.work$For_Price, strike = atm.work$K,
+ dividendYield = atm.work$BEY, riskFreeRate = atm.work$BEY, maturity = 
atm.work$t_exp,
+ volatility = atm.work$sigma)
Error in EuropeanOption.default(X[[2]], ...) :
        Unexpected option type 2Jan97, aborting

When I include a column named type with "put" in all rows I get the 
following error
 x<-sapply(X=atm.work,FUN=EuropeanOption, underlying = 
atm.work$For_Price, strike = atm.work$K,
+ dividendYield = atm.work$BEY, riskFreeRate = atm.work$BEY, maturity = 
atm.work$t_exp,
+ volatility = atm.work$sigma, type=atm.work$type)
Error in FUN(X[[1]], ...) : unused argument(s) ( ...)

Using type="put" or type=rep(1,nrows,"put") all get this unused argument 
error.

I check the function call to see what happens with I do not include the 
correct number of parameters.  I received
error messages detailing the call order of European parms. 

Thank you
Joe




More information about the R-help mailing list