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

[Wilson Nascimento De Freitas]

Hi,

I ran that code with a data.frame of ~ 20K records.

https://gist.github.com/wilsonfreitas/9835012

Note that theo_price might be a wrapper of GBSOption (or any other function).

wf

-----Mensagem original-----
De: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] Em nome de Joachim Breit
Enviada em: quinta-feira, 25 de setembro de 2014 11:04
Para: r-sig-finance at r-project.org
Assunto: Re: [R-SIG-Finance] GBSVolatility not working on vectors?

Rejoiced too soon.

It worked with my mini-dataframe but when doing it with the big one I got:

Fehler in uniroot(.fGBSVolatility, interval = c(-10, 10), price = price,  :
   f() values at end points not of opposite sign



Am 25.09.2014 14:32, schrieb Joachim Breit:
> Cool, that works.
> I'm a beginner (since a decade or so :-) Did not know Vectorize()
>
> Thank you so much!
>
> Am 25.09.2014 14:17, schrieb Shivam:
>>> dtemp$iva  <- Vectorize(GBSVolatility)(price = dtemp$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))
>
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