[R-SIG-Finance] GBSVolatility not working on vectors?

[Joachim Breit]

Hi,

I am struggling with the GBSVolatility function. I have a huge dataframe 
'd' with options market data and want to add a column with the implied 
volatility computed from the ask price.

When invoking GBSVolatility with a single line of the dataframe 
everything works fine. But when feeding the columns of the dataframe 
into GBSVolatility I get an error message.

To tackle the issue I took a mini-dataframe 'dtemp' with only two rows 
(arbitrary subset of the original d)

## mini-dataframe ########################################
 > dtemp <- d[515:516,]
 > dtemp
      strike cp   ask   bid     c ntd      rb   iva
1081     50  c 16.17 15.37 65.79  32 0.00384 1e+09
1083     51  c 15.17 14.37 65.79  32 0.00384 1e+09

## invoking with the entire mini-dataframe ####################
 > dtemp$iva  <- GBSVolatility(price = dtemp$ask, TypeFlag = dtemp$cp,
S = dtemp$c , X = dtemp$strike, Time = dtemp$ntd / 253.8,
r = pmax(dtemp$rb, 0), b = pmax(dtemp$rb, 0))
Fehler in uniroot(.fGBSVolatility, interval = c(-10, 10), price = price,  :
   ungültiger Funktionswert in 'zeroin'
Zusätzlich: Warnmeldungen:
1: In if (is.na(f.lower)) stop("f.lower = f(lower) is NA") :
   Bedingung hat Länge > 1 und nur das erste Element wird benutzt
2: In if (is.na(f.upper)) stop("f.upper = f(upper) is NA") :
   Bedingung hat Länge > 1 und nur das erste Element wird benutzt
3: In if (f.lower * f.upper > 0) stop("f() values at end points not of 
opposite sign") :
   Bedingung hat Länge > 1 und nur das erste Element wird benutzt


## invoking with the first row of the mini-dataframe ###############
 > dtemp <- d[515:515,]
 > dtemp$iva  <- GBSVolatility(price = dtemp$ask, TypeFlag = dtemp$cp,
S = dtemp$c , X = dtemp$strike, Time = dtemp$ntd / 253.8,
r = pmax(dtemp$rb, 0), b = pmax(dtemp$rb, 0))
 > dtemp
      strike cp   ask   bid     c ntd      rb       iva
1081     50  c 16.17 15.37 65.79  32 0.00384 0.5340467

## invoking with the 2nd row of the mini-dataframe ###############
 > dtemp <- d[516:516,]
 > dtemp$iva  <- GBSVolatility(price = dtemp$ask, TypeFlag = dtemp$cp, S 
= dtemp$c , X = dtemp$strike, Time = dtemp$ntd / 253.8, r = 
pmax(dtemp$rb, 0), b = pmax(dtemp$rb, 0))
 > dtemp
      strike cp   ask   bid     c ntd      rb       iva
1083     51  c 15.17 14.37 65.79  32 0.00384 0.5030617


Can somebody please help? I am going crazy...

Joachim