[R-SIG-Finance] rnorm.sobol problems (from fOptions)

[Martin Becker]

Chris,

although rnorm.sobol should not cause a segfault, you should not expect 
it to work for dimensions greater than 1111, as 1111 is the (documented, 
see ?rnorm.sobol) maximal dimension for rnorm.sobol.
Regards,
  Martin


Chris Masters wrote:
> Hi
>
> I'm having issues calling rnorm.sobol in the fOptions package. Is this a
> known issue? (with a lower dimension it works fine)
>
> ---
>
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>   
>> library(fOptions)
>>     
> Loading required package: timeDate
> Loading required package: timeSeries
> Loading required package: fBasics
> Loading required package: MASS
> Rmetrics Package fOptions (2100.76) loaded.
>   
>> rnorm.sobol(30,1500)
>>     
>
>  *** caught segfault ***
> address 0x7f3867c487a8, cause 'invalid permissions'
>
> Traceback:
>  1: .Fortran("sobol", as.double(qn), as.integer(n),
> as.integer(dimension),
> as.double(.getfOptionsEnv(".rnorm.sobol.seed")$quasi),
> as.integer(.getfOptionsEnv(".rnorm.sobol.seed")$ll),
> as.integer(.getfOptionsEnv(".rnorm.sobol.seed")$count),
> as.integer(.getfOptionsEnv(".rnorm.sobol.seed")$sv),
> as.integer(scrambling),
> as.integer(.getfOptionsEnv(".rnorm.sobol.seed")$seed),     as.integer(init),
> as.integer(1), PACKAGE = "fOptions")
>  2: rnorm.sobol(30, 1500)
>
>
> ---
>
>
> Thanks
>
> Chris
>
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-- 
Dr. Martin Becker
Statistics and Econometrics
Saarland University
Campus C3 1, Room 206
66123 Saarbruecken
Germany