[R-sig-finance] NIG Option Pricing

Martin Maechler maechler at stat.math.ethz.ch
Wed Dec 7 12:09:48 CET 2005

>>>>> "dkf" == dkf  <dkf at specere.com>
>>>>>     on Wed, 7 Dec 2005 00:23:34 +0700 (ICT) writes:

    dkf> Hello,
    >> I am not sure of a few things you are doing

    dkf> As it turns out - neither was I.  I was able to narrow
    dkf> the problem down and identify my programing error.  I
    dkf> apologize for the noise on the list.

    dkf> Anyway, to those that might be interested (and to
    dkf> prevent anyone else wasting their time on this).
    dkf> Basically, my mistake was to assume that the default
    dkf> arguments to the function "nigpdf" were evaluated at
    dkf> runtime. In fact, they are evaluated at the time of the
    dkf> function defnition. 

not really --  since this is not true for any R function!

I think your problem is that you are working with global
variables a lot, something which is *very strongly* discouraged....
In your case, I think you could pass a list(alpha=.., beta=..)
to the corresponding functions.


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