
Sorry , i am really tiered i misread you're message. 

Date: Thu, 26 Apr 2012 10:59:32 -0700
From: ml-node+s789695n4590509h75@n4.nabble.com
To: Guaramy@hotmail.com
Subject: Re: ErrError in f(x, ...) : object 'g.' not found



	Just what it says:


You define g but refer to a variable g.  in the next line.


Just get rid of the typo.


Sarah


On Thu, Apr 26, 2012 at 1:43 PM, Guaramy <[hidden email]> wrote:

> Hi , R is a new language for me so sorry in advance if this error is to basic

> for posting. I have tried the R manual and search online for quite a few, if

> anyone could help i would be very thankful.

> Here is  my code.

>

> kappa = 1.1

> theta = 0.1

> sigma = 0.4

> rho = -0.6

> v0 = 0.2

> r = 0.05

> T = 0.5

> s0 = 1

> K = 0.5

> type = 1

> Hestoncall = function(kappa,theta,sigma,rho,v0,r,T,s0,K,type)

> {

>

>                                 u = 0.5

>                                 b = kappa-rho*sigma

>                                 a = kappa*theta

>                                 x = log(s0)

>

>                Hestf = function(phi)

>                {

>

>                                 d = sqrt((b-rho*sigma*phi*complex(1,0,1)-b )^2-sigma^2*(2*u*phi^2))

>                                 g =

> (b-rho*sigma*phi*complex(1,0,1)+d)/(b-rho*sigma*phi*complex(1,0,1)-d)

>                                 C = r*phi*complex(1,0,1)*T +

> a/sigma^2*((b-rho*sigma*phi*complex(1,0,1)+d)*T-2*log((1-g.*exp(d*T))/(1-g)))

>                                 D =

> (b-rho*sigma*phi*complex(1,0,1)+d)/sigma^2*((1-exp(d*T))/(1-g*exp(d*T)))

>

>                                 f = exp(C+D*v0 +complex(1,0,1)*phi*x);

>

>

>                          HestonPintegrand  = real (exp(-1i*phi*log(K))*f/(1i*phi))

>

>                          HestonPintegrand

>

>                        }

>

>         #int.fn = function(t){sapply(t,FUN=Hestf)}

>         IH = integrate(Hestf,lower=0,upper=Inf,rel.tol=1e-10,subdivisions=1000000)

>         ret = 0.5 + 1/pi*IH

>

>

>

>        call = s0*ret - K*exp(r-T)*ret

>        call

>

> }

>

> thanks in advance

>
-- 

Sarah Goslee

http://www.functionaldiversity.org

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