In addition to what the other said, if callM is a vector then an expression of
the form
if (callM <= call0)
is inappropriate. Objects inside the parentheses of if() should have length
one. For example,
> if (1:5 < 3) 'a' else 'b'
[1] "a"
Warning message:
In if (1:5 < 3) "a" else "b" :
the condition has length > 1 and only the first element will be used
instead of what you have:
if(callM <= call0){
sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
}else{
sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
}
Here are a couple of (untested) possibilities:
M.gt.0 <- callM > call0
sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
sig[M.gt.0] <- (1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y)))[M.gt.0]
or
sig <- 1/sqrt(T)*(sqrt(gamma + y) + ifelse(callM <= call0, -1, 1) *
sqrt(gamma - y))
incidentally, I would write
sig <- (sqrt(gamma + y) - sqrt(gamma - y))/sqrt(T)
instead of
sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
--
Don MacQueen
Lawrence Livermore National Laboratory
7000 East Ave., L-627
Livermore, CA 94550
925-423-1062
Lab cell 925-724-7509
On 9/20/18, 8:08 AM, "R-help on behalf of Lynette Chang"
<r-help-boun...@r-project.org on behalf of momtoo...@gmail.com> wrote:
Hello everyone,
I’ve a function with five input argument and one output number.
impVolC <- function(callM, K, T, F, r)
I hope this function can take five vectors as input, then return one
vector as output. My vectorization ran into problems with the nested if-else
operation. As a result, I have to write another for loop to call this function.
Can anyone suggest some methods to overcome it? I put my code below, thanks.
impVolC <- function(callM, K, T, F, r){
if(y >= 0){
call0 <- K*exp(-r*T)*(exp(y)*polya(sqrt(2*y)) - 0.5)
if(callM <= call0){
sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
}else{
sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
}
}else{
call0 <- K*exp(-r*T)*(exp(y)/2 - polya(-sqrt(-2*y)))
if(callM <= call0){
sig <- 1/sqrt(T)*(-sqrt(gamma + y) + sqrt(gamma - y))
}else{
sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
}
}
sig
}
for(i in 1:length(call)){
sigV[i] <- impVolC(callM = call[i], K = df$Strike[i], T = T, F = F, r =
r_m)
}
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______________________________________________
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
