Newbie wrote:
>
> Dear R-users
>
> I need to calibrate kappa, rho, eta, theta, v0 in the following code, see
> below. However when I run it, I get:
>
> y <- function(kappahat, rhohat, etahat, thetahat, v0hat)
> {sum(difference(k, t, S0, X, r, implvol, q, kappahat, rhohat, etahat,
> thetahat, v0hat)^2)}
>> nlminb(start=list(kappa, rho, eta, theta, v0), objective = y, lower =lb,
>> upper =ub)
> Error in dots[[1L]][[1L]] : object of type 'closure' is not subsettable
>
> And I don't know what this mean and what I am doing wrong. Can anyone help
> me?
> Here is my code and data set.
>
> Best
> Rikke
>
> ..............
>
> y <- function(kappahat, rhohat, etahat, thetahat, v0hat)
> {sum(difference(k, t, S0, X, r, implvol, q, kappahat, rhohat, etahat,
> thetahat, v0hat)^2)}
> nlminb(start=list(kappa, rho, eta, theta, v0), objective = y, lower =lb,
> upper =ub)
>
You haven't given all your data. Spot csv is missing.
You are using nlminb incorrectly.
It expects the objective function to take a numeric vector as argument as
clearly stated in the documentation.
Which should have been clear after your first post.
This would possibly help (NOT tested because of lack of data)
y <- function(par) {kappahat<-par[1]; rhohat<-par[2]; etahat<-par[3];
thetahat<-par[4]; v0hat<-par[5]; sum(difference(k, t, S0, X, r, implvol, q,
kappahat, rhohat, etahat, thetahat, v0hat)^2)}
nlminb(start=c(kappa, rho, eta, theta, v0), objective = y, lower =lb, upper
=ub)
Berend
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