Hi , R is a new language for me so sorry in advance if this error is to basic
for posting. I have tried the R manual and search online for quite a few, if
anyone could help i would be very thankful.
Here is my code.
kappa = 1.1
theta = 0.1
sigma = 0.4
rho = -0.6
v0 = 0.2
r = 0.05
T = 0.5
s0 = 1
K = 0.5
type = 1
Hestoncall = function(kappa,theta,sigma,rho,v0,r,T,s0,K,type)
{
u = 0.5
b = kappa-rho*sigma
a = kappa*theta
x = log(s0)
Hestf = function(phi)
{
d = sqrt((b-rho*sigma*phi*complex(1,0,1)-b
)^2-sigma^2*(2*u*phi^2))
g =
(b-rho*sigma*phi*complex(1,0,1)+d)/(b-rho*sigma*phi*complex(1,0,1)-d)
C = r*phi*complex(1,0,1)*T +
a/sigma^2*((b-rho*sigma*phi*complex(1,0,1)+d)*T-2*log((1-g.*exp(d*T))/(1-g)))
D =
(b-rho*sigma*phi*complex(1,0,1)+d)/sigma^2*((1-exp(d*T))/(1-g*exp(d*T)))
f = exp(C+D*v0 +complex(1,0,1)*phi*x);
HestonPintegrand = real
(exp(-1i*phi*log(K))*f/(1i*phi))
HestonPintegrand
}
#int.fn = function(t){sapply(t,FUN=Hestf)}
IH =
integrate(Hestf,lower=0,upper=Inf,rel.tol=1e-10,subdivisions=1000000)
ret = 0.5 + 1/pi*IH
call = s0*ret - K*exp(r-T)*ret
call
}
thanks in advance
--
View this message in context:
http://r.789695.n4.nabble.com/ErrError-in-f-x-object-g-not-found-tp4590465p4590465.html
Sent from the R help mailing list archive at Nabble.com.
______________________________________________
R-help@r-project.org mailing list
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.
