[R] How to vectorize this function

[Jeff Newmiller]

re: your last comment... why do you prefer to multiply by the reciprocal?

On September 20, 2018 10:56:22 AM PDT, "MacQueen, Don via R-help" <r-help using r-project.org> wrote:
>In addition to what the other said, if callM is a vector then an
>expression of the form
>   if (callM <= call0)
>is inappropriate. Objects inside the parentheses of   if()  should have
>length one. For example,
>
>> if (1:5 < 3) 'a' else 'b'
>[1] "a"
>Warning message:
>In if (1:5 < 3) "a" else "b" :
>  the condition has length > 1 and only the first element will be used
>
>
>instead of what you have:
>         if(callM <= call0){
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
>         }else{
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
>        }
>
>Here are a couple of (untested) possibilities:
>
>  M.gt.0 <- callM > call0
>  sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
> sig[M.gt.0] <- (1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y)))[M.gt.0]
>
>or
>
>sig <- 1/sqrt(T)*(sqrt(gamma + y)  + ifelse(callM <= call0, -1, 1) *
>sqrt(gamma - y))
>
>incidentally, I would write
>   sig <- (sqrt(gamma + y) - sqrt(gamma - y))/sqrt(T)
>instead of
>   sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
>
>--
>Don MacQueen
>Lawrence Livermore National Laboratory
>7000 East Ave., L-627
>Livermore, CA 94550
>925-423-1062
>Lab cell 925-724-7509
> 
> 
>
>On 9/20/18, 8:08 AM, "R-help on behalf of Lynette Chang"
><r-help-bounces using r-project.org on behalf of momtoomax using gmail.com> wrote:
>
>    Hello everyone,
>    
>       I’ve a function with five input argument and one output number. 
>    	  impVolC <- function(callM, K, T, F, r)
>    
>I hope this function can take five vectors as input, then return one
>vector as output. My vectorization ran into problems with the nested
>if-else operation. As a result, I have to write another for loop to
>call this function. Can anyone suggest some methods to overcome it? I
>put my code below, thanks.
>    
>    impVolC <- function(callM, K, T, F, r){
>    
>    
>     if(y >= 0){
>         call0 <- K*exp(-r*T)*(exp(y)*polya(sqrt(2*y)) - 0.5)
>         if(callM <= call0){
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
>         }else{
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
>         }
>     }else{
>         call0 <- K*exp(-r*T)*(exp(y)/2 - polya(-sqrt(-2*y)))
>         if(callM <= call0){
>           sig <- 1/sqrt(T)*(-sqrt(gamma + y) + sqrt(gamma - y))
>         }else{
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
>         }
>     }
>     sig
>    } 
>    
>    for(i in 1:length(call)){
>sigV[i] <- impVolC(callM = call[i], K = df$Strike[i], T = T, F = F, r =
>r_m)  
>    }
>    
>    ______________________________________________
>    R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
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>PLEASE do read the posting guide
>http://www.R-project.org/posting-guide.html
>    and provide commented, minimal, self-contained, reproducible code.
>    
>
>______________________________________________
>R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide
>http://www.R-project.org/posting-guide.html
>and provide commented, minimal, self-contained, reproducible code.

-- 
Sent from my phone. Please excuse my brevity.