3 messages · Shivam, Joachim Breit
Hi Joachim, Somehow I am not able to replicate your data in my workspace. But I would like to suggest you to try the below:
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)) Hope it helps. Regards, Shivam
*Victoria Concordia Crescit*
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))
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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