Hi there,
~ sry for the late answer.. and thanks for the advice.
i'm using a different approach than the CRR model because
i'm implementing a pricing algorithm for american options
with transaction costs.
i'm not sure if i should close this thread for now, because
right now i'm trying to do a d
Jumping in from a finance perspective...
You really don't want to actually use nested lists for this -- the
overhead and index-book-keeping will quickly become quite annoying.
Instead use a 2D array (I assume you're using the CRR Binomial Tree
model for an American Option) where the column number
Hi there,
~ the 'problem' or rather the task I'm trying to solve is to implement
an algorithm to compute the ask/bid price of american options in a
close to R related program language.
because i'm not really using R but just it's basic functionalities I cannot
rely on different packages include
On 05/17/2012 06:30 AM, jackl wrote:
Hi..
Ok here is an example on how I wanted the tree to be implemented in R:
- the tree is, as you wrote, saved as a list of different tree levels
- each tree level is also saved as a list of different nodes in that
specific level
- and for the last part, ea
Hi..
Ok here is an example on how I wanted the tree to be implemented in R:
- the tree is, as you wrote, saved as a list of different tree levels
- each tree level is also saved as a list of different nodes in that
specific level
- and for the last part, each node is then saved as a list of func
On May 14, 2012, at 1:56 PM, jackl wrote:
Hi,
~ well that seems to be a better solution.
Question is how much an enviroment for each node costs in terms of
save space..
Seems unlike that it would expand you space very much. Every function
you create will have an environment.
The exampl
Hi,
~ well that seems to be a better solution.
Question is how much an enviroment for each node costs in terms of
save space..
The example code is hard to present, because it is really based on that
problem.
The frame of the problem is, that I have to write a program that gives
each node in a b
Hello,
I'm not completely sure if I understand, but maybe using environments.
If each function copy in the list has a different environment, you can set
the parameters values in that environment.
Something like
f <- as.function(alist(y=,x=tmp,y+x))
env <- list(
e1=new.env(),
e2=
Thanks for the fast answer..
The problem with your "free" definition of f is, that it does not
really fit my task.
I have to build a tree where each node contains the same function
just with adjusted parameters. Setting the parameters in the function call
is not really an option.
Is there anothe
Hello,
>
> Is there a way to force a call-by-value instead of a call-by-address?
>
Yes, there is one way, just do nothing. R always uses call-by-value.
I'm not completely sure about this, but when you create f() the parameter x
default value
is a promise, not an actual, evaluated value. Courtesy
Hi,
i have a question regarding the as.function functionality.
I need to save multiple functions with adjusted parameters in a list.
The adjusted parameters are changed via variables in a loop.
The problem I'm facing right now is that the functions saved in
the list don't have the values of the pa
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