using vectors as inputs for a function

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Locks
Locks 2013 年 5 月 9 日
Hi,
I have this function here:
function HestonCallPriceF
x0 = [1.1768 0.082259 0.83746 -0.54589]; %parameters: psi m xi rho
PC = 1; F = 100; K = 100; T = 0.2; r = 0.04; V0 = 0.02;
CallPriceF(PC, F, K, T, r, V0, x0)
%Delta
epsD = abs(F)*eps^(1/6);
Delta=(CallPriceF(PC, F+epsD, K, T, r, V0, x0)-CallPriceF(PC, F-epsD, K, T, r, V0, x0))/(2*epsD)
%Vega
epsV = abs(V0)*eps^(1/6);
Vega=(CallPriceF(PC, F, K, T, r, V0+epsV, x0)-CallPriceF(PC, F-epsD, K, T, r, V0-epsV, x0))/(2*epsV)
Which is working fine for those inputs:
PC = 1; F = 100; K = 100; T = 0.2; r = 0.04; V0 = 0.02;
Which I have used above. Indest of having this inputs, I would like the function to compute me the delta and vega for each row of a matrix and therefore I tried to replace those iputs:
PC = 1; F = 100; K = 100; T = 0.2; r = 0.04; V0 = 0.02;
with this here:
PC=data9(1,3); F=data9(1,1); K=data9(1,2); T=data9(1,5); r=data9(1,7); V0=(data9(1,8)/100)^2;
For some reason this is not working.
I would like to store the deltas and vegas in two additional vectors which I then add to the existing matrix called data9
is there a way to do this or where is the mistake I am making?
  1 件のコメント
Jordan Monthei
Jordan Monthei 2013 年 5 月 9 日
why not have a loop that goes through each element of your input vectors one at a time and calculates the delta vega with the output then being placed in an output vector?

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採用された回答

Matt Tearle
Matt Tearle 2013 年 5 月 9 日
編集済み: Matt Tearle 2013 年 5 月 9 日
"this is not working" What is the error message you're getting?
Is there any reason to have HestonCallPriceF be a function? It has no inputs or outputs. Why not just comment out the function declaration line and run it as a script? Then you can at least see what's going on a bit easier, without having to go fully into debug mode.
In fact, the problem may well be that it's a function -- I don't see anywhere that data9 is defined within the function. If data9 is a variable in your base workspace and you're expecting it to be available within HestonCallPriceF, then that's your problem right there.
  3 件のコメント
Locks
Locks 2013 年 5 月 9 日
it's working now, thanks for your help!!

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