I have to calculate the value of a set of parameter that minimize a function
("scarti") with constrains. I know that "scarti" is
right.
Then, why I have error??? I don't understand!!! Help, thanks, it's very
important!!!
This is the routine:
---------------------------------------------------------------------
#Stima su tassi swap del modello CIR
swap=c(1.311,1.878,2.248,2.556,2.81,3.031,3.216,3.3525,3.491,3.583,3.786,3.963,4.062,4.022,3.944)
scadswap=c(1,2,3,4,5,6,7,8,9,10,12,15,20,25,30)
swapint=approx(scadswap,swap,xout=1:30,method="linear")$y
flussi=mat.or.vec(nr=30,nc=30)
for (k in 1:30){
flussi[k,]=c(rep(swapint[k],k-1),100+swapint[k],rep(0,30-k))
}
A=rbind(flussi)
PMerc=rep(100,30)
scarti=function(r,d,fi,ni){
vs=mat.or.vec(nr=30,nc=1)
for (s in 1:30){
a=(d*exp(fi*s)/(fi*(exp(d*s)-1)+d))^(ni)
b=((exp(d*s)-1)/(fi*(exp(d*s)-1)+d))
vs[s]=a*exp(-r*b)
}
PMod=A%*%vs
return(sum((PMerc-PMod)^2))
}
parCIR=constrOptim(c(0.0088,0.3339,0.3092,1.7530),scarti,NULL,ui=rbind(c(1,0,0,0),c(0,1,-1,0),c(0,1,0,0),c(0,0,0,1)),ci=c(0,0,0,1))$par
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