Dear R-users
I am trying to "vectorize" a function so that it can handle two vectors of
inputs. I want the function to use phi (a function), k[1] and t[1] for the
first price, and so on for the second, third and fourth price. I tried to do
the mapply, but I dont know how to specify to R what input I want to be
vectors (k and t)(see in the bottom what I tried). I have read the help
file, but I still dont understand how to do it properly. Also, I've tried to
use sapply (which seems totally wrong). However, the function uses k[1] for
t 1 to 4, and thereby returns 16 different values instead of just 4.
Can anyone tell me how to do this - I know the answer is simple, but I dont
understand how
Thank you for your time
Kinds Rikke
#------ Characteristic function of the Heston model -----#
phiHeston <- function(parameters)
{
lambda <- parameters[1];
rho <- parameters[2];
eta <- parameters[3];
theta <- parameters[4];
v0 <- parameters[5];
function(u, t)
{
alpha <- -u*u/2 - 1i*u/2;
beta <- lambda - rho*eta*1i*u;
gamma <- eta^2/2;
d <- sqrt(beta*beta - 4*alpha*gamma);
rplus <- (beta + d)/(2*gamma);
rminus <- (beta - d)/(2*gamma);
g <- rminus / rplus;
D <- rminus * (1 - exp(-d*t))/ (1 - g*exp(-d*t));
C <- lambda * (rminus * t - 2/eta^2 * log( (1 - g*exp(-(d*t)))/(1 - g)
) );
return(exp(C*theta + D*v0));
}
}
Price_call <- function(phi, k, t)
{
integrand <- function(u){Re(exp(-1i*u*k)*phi(u - 1i/2, t)/(u^2 +
1/4))};
res <- 1 - exp(k/2)/pi*integrate(integrand,lower=0,upper=Inf)$value;
return(res);
}
subHeston <- c(0.6067,-0.7571,0.2928,0.0707,0.0654);
kV <- c(0.9,1,1.2,1.3)
tV <- c(0.1,0.4,0.5, 1)
HestonCallVec <- function(phi, kVec, t)
{
sapply(kVec, function(k){Price_call(phi, k, t)})
}
HestonCallVec(phiHeston(subHeston), kV, 1)
subHeston <- c(0.6067,-0.7571,0.2928,0.0707,0.0654);
kV <- c(0.9,1,1.2,1.3)
tV <- c(0.1,0.4,0.5, 1)
HestonCallVec2 <- function(phi, kVec, tVec)
{
sapply(tVec, function(t){HestonCallVec(phi, kVec, t)})
}
HestonCallVec2(phiHeston(subHeston), kV, tV)
# This should give 4 values
This is what I tried for the mapply function, which returns a list, instead
of values.
HestonCallVec <- function(phi, kVec, t)
{
mapply(function(k, t){Price_call(phi, k, t)})
}
HestonCallVec(phiHeston(subHeston), kV, tV)
# This should give 4 values
--
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