[R-SIG-Finance] R-SIG-Finance Digest, Vol 32, Issue 7

[manu]

hi michel
the code works with 2.4.1

the pb must be a problem of version
update to 2.4.1 ;-)

regards

emmanuel

>from an example of the doc of fMultivar
>This is the script with the "require" for the libraries
>and under R2.3.1
>Copy of the error message
>is it necesary to load an other lib ? an other function ?
>Thanks
>sincerely
>Michel POUCHAIN
>university PAris 13
>------------------------------------------------------------
>require(fBasics)
>require(fCalendar)
>require(fSeries)
>require(fMultivar)
>require(fExtremes)
>require(fOptions)
>require(fPortfolio)
>require(mgcv)
>
>## SOURCE("fMultivar.2A-RegressionModelling")
>## Not run:
>## regFit -
>data(recession)
>recession[,1] = paste(recession[,1], "28", sep = "")
>## myPlot -
>myPlot = function(recession, in.sample) {
>recession = as.timeSeries(recession)[, "recession"]
>in.sample = as.timeSeries(recession)[, "recession"]
>Date = recession[, "date"]
>Date = trunc(Date/100) + (Date-100*trunc(Date/100))/12
>Recession = recession[, "recession"]
>inSample = as.vector(in.sample)
>plot(Date, Recession, type = "n", main = "US Recession")
>grid()
>lines(Date, Recession, type = "h", col = "steelblue3")
>lines(Date, inSample)
>}
>## Generalized Additive Modelling:
>require(mgcv)
>par(mfrow = c(2, 2))
>fit = gregFit(formula = recession ~ s(tbills3m) + s(tbonds10y),
>family = gaussian(), data = recession, use = "gam")
># In Sample Prediction:
>in.sample = predict(fit, newdata = recession)$fit
>myPlot(recession, in.sample)
># Summary:
>summary(fit)
># Add plots from the original plot method:
>gam.fit = fit at fit
>class(gam.fit) = "gam"
>plot(gam.fit)
>## End(Not run)
>------------------------------------
>Error message
>-------------
>
>[1] TRUE
>> par(mfrow = c(2, 2))
>> fit = gregFit(formula = recession ~ s(tbills3m) + s(tbonds10y),
>+ family = gaussian(), data = recession, use = "gam")
>Erreur : impossible de trouver la fonction "gregFit"
>> # In Sample Prediction:
>> in.sample = predict(fit, newdata = recession)$fit
>Erreur dans predict(fit, newdata = recession) : 
>        objet "fit" non trouv?
>> myPlot(recession, in.sample)
>Erreur dans if (timeTest == 0) iso.format = "%Y-%m-%d" : 
>        valeur manquante l? o? TRUE / FALSE est requis
>> # Summary:
>> summary(fit)
>Erreur dans summary(fit) : objet "fit" non trouv?
>> # Add plots from the original plot method:
>> gam.fit = fit at fit
>Erreur : objet "fit" non trouv?
>> class(gam.fit) = "gam"
>> plot(gam.fit)
>Erreur dans plot.gam(gam.fit) : No terms to plot - nothing for
>plot.gam() to do.
>> ## End(Not run)
>> 
>>
>
>
>
>------------------------------
>
>Message: 2
>Date: Tue, 9 Jan 2007 17:26:48 -0800 (PST)
>From: Tobias <tobias_elbert at hotmail.com>
>Subject: [R-SIG-Finance] Backing out implied parameters from HNGARCH
>	option	model
>To: r-sig-finance at stat.math.ethz.ch
>Message-ID: <8250644.post at talk.nabble.com>
>Content-Type: text/plain; charset=us-ascii
>
>
>Dear all,
>
>I am trying to back out the implied parameters using observed options prices
>and the Heston-Nandi Garch model via NLS. 
>
>For this purpose I am using Diethelm Wuertz's pricing algorithm in a
>function called hnoption similar to this:
>
>hnoption <- function(b)      #where b is the vector of parameters passed on
>to the pricing algorithm
>{
>     ....
>     hnoption <- value obtained via pricing algorithm
>}
>
>calccall <- function(b)
>{
>	for (jj in 1:num1)
>	{
>		counter <<- jj 
>		qq[jj] <- hnoption(b)
>		
>	}
>	
>	calccall <- sum((c-qq)^2)
> }
>
># some initial guess of parameters
>bstart <- c(.1,.1,1,-.5,.7)
>
>p <- optim(bstart,calccall,hessian = TRUE)
>
>The code works fine for a few iterations of optim(). However, at some point
>it produces parameter values that cause an integral that's being evaluated
>in hnoption to drift off to infinity. At least that's what I think happens
>when R produces the error: error in integrate(): non-finite function value.
>I have tried to constrain some parameters in optim() but keep receiving the
>same error. 
>
>I would really appreciate if someone could point me to possible solutions. 
>
>Regards 
>
>Tobias
>
>-- 
>View this message in context: http://www.nabble.com/Backing-out-implied-parameters-from-HNGARCH-option-model-tf2950123.html#a8250644
>Sent from the Rmetrics mailing list archive at Nabble.com.
>
>
>
>------------------------------
>
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>R-SIG-Finance at stat.math.ethz.ch
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>
>
>End of R-SIG-Finance Digest, Vol 32, Issue 7
>********************************************
>

= = = = = = = = = ========= = = = = = = = = = =
			
manu
junkmanu at free.fr
23/01/2007