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Lynette Chang

2018-Sep-20 15:08 UTC

[R] How to vectorize this function

Hello everyone,

     I?ve a function with five input argument and one output number. 
	  impVolC <- function(callM, K, T, F, r)

     I hope this function can take five vectors as input, then return one vector
as output. My vectorization ran into problems with the nested if-else operation.
As a result, I have to write another for loop to call this function. Can anyone
suggest some methods to overcome it? I put my code below, thanks.

impVolC <- function(callM, K, T, F, r){


 if(y >= 0){
     call0 <- K*exp(-r*T)*(exp(y)*polya(sqrt(2*y)) - 0.5)
     if(callM <= call0){
       sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
     }else{
       sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
     }
 }else{
     call0 <- K*exp(-r*T)*(exp(y)/2 - polya(-sqrt(-2*y)))
     if(callM <= call0){
       sig <- 1/sqrt(T)*(-sqrt(gamma + y) + sqrt(gamma - y))
     }else{
       sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
     }
 }
 sig
} 

for(i in 1:length(call)){
 sigV[i] <- impVolC(callM = call[i], K = df$Strike[i], T = T, F = F, r = r_m)
}

David L Carlson

2018-Sep-20 16:05 UTC

head link

[R] How to vectorize this function

Your function takes an argument "F" that is never used and uses an
object "y" which is not defined. Give us some data to use for testing
different approaches along with the answer you expect. It may be possible to use
two ifelse() functions instead of the loop.

----------------------------------------
David L Carlson
Department of Anthropology
Texas A&M University
College Station, TX 77843-4352

-----Original Message-----
From: R-help <r-help-bounces at r-project.org> On Behalf Of Lynette Chang
Sent: Thursday, September 20, 2018 10:09 AM
To: r-help at r-project.org
Subject: [R] How to vectorize this function

Hello everyone,

     I?ve a function with five input argument and one output number. 
	  impVolC <- function(callM, K, T, F, r)

     I hope this function can take five vectors as input, then return one vector
as output. My vectorization ran into problems with the nested if-else operation.
As a result, I have to write another for loop to call this function. Can anyone
suggest some methods to overcome it? I put my code below, thanks.

impVolC <- function(callM, K, T, F, r){


 if(y >= 0){
     call0 <- K*exp(-r*T)*(exp(y)*polya(sqrt(2*y)) - 0.5)
     if(callM <= call0){
       sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
     }else{
       sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
     }
 }else{
     call0 <- K*exp(-r*T)*(exp(y)/2 - polya(-sqrt(-2*y)))
     if(callM <= call0){
       sig <- 1/sqrt(T)*(-sqrt(gamma + y) + sqrt(gamma - y))
     }else{
       sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
     }
 }
 sig
} 

for(i in 1:length(call)){
 sigV[i] <- impVolC(callM = call[i], K = df$Strike[i], T = T, F = F, r = r_m)
}

______________________________________________
R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
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.

Bert Gunter

2018-Sep-20 16:42 UTC

head link

[R] How to vectorize this function

Also:

What package does polya() come from and "gamma" (as a numeric value)is
undefined (it is a function).


Bert Gunter

"The trouble with having an open mind is that people keep coming along and
sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )


On Thu, Sep 20, 2018 at 9:06 AM David L Carlson <dcarlson at tamu.edu>
wrote:
> Your function takes an argument "F" that is never used and uses
an object
> "y" which is not defined. Give us some data to use for testing
different
> approaches along with the answer you expect. It may be possible to use two
> ifelse() functions instead of the loop.
>
> ----------------------------------------
> David L Carlson
> Department of Anthropology
> Texas A&M University
> College Station, TX 77843-4352
>
> -----Original Message-----
> From: R-help <r-help-bounces at r-project.org> On Behalf Of Lynette
Chang
> Sent: Thursday, September 20, 2018 10:09 AM
> To: r-help at r-project.org
> Subject: [R] How to vectorize this function
>
> Hello everyone,
>
>      I?ve a function with five input argument and one output number.
>           impVolC <- function(callM, K, T, F, r)
>
>      I hope this function can take five vectors as input, then return one
> vector as output. My vectorization ran into problems with the nested
> if-else operation. As a result, I have to write another for loop to call
> this function. Can anyone suggest some methods to overcome it? I put my
> code below, thanks.
>
> impVolC <- function(callM, K, T, F, r){
>
>
>  if(y >= 0){
>      call0 <- K*exp(-r*T)*(exp(y)*polya(sqrt(2*y)) - 0.5)
>      if(callM <= call0){
>        sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
>      }else{
>        sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
>      }
>  }else{
>      call0 <- K*exp(-r*T)*(exp(y)/2 - polya(-sqrt(-2*y)))
>      if(callM <= call0){
>        sig <- 1/sqrt(T)*(-sqrt(gamma + y) + sqrt(gamma - y))
>      }else{
>        sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
>      }
>  }
>  sig
> }
>
> for(i in 1:length(call)){
>  sigV[i] <- impVolC(callM = call[i], K = df$Strike[i], T = T, F = F, r
> r_m) }
>
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> 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.
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> 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.
>
	[[alternative HTML version deleted]]

MacQueen, Don

2018-Sep-20 17:56 UTC

head link

[R] How to vectorize this function

In addition to what the other said, if callM is a vector then an expression of
the form
   if (callM <= call0)
is inappropriate. Objects inside the parentheses of   if()  should have length
one. For example,
> if (1:5 < 3) 'a' else 'b'[1] "a"
Warning message:
In if (1:5 < 3) "a" else "b" :
  the condition has length > 1 and only the first element will be used


instead of what you have:
         if(callM <= call0){
           sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
         }else{
           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
        }

Here are a couple of (untested) possibilities:

  M.gt.0 <- callM > call0
  sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
  sig[M.gt.0] <- (1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y)))[M.gt.0]

or

    sig <- 1/sqrt(T)*(sqrt(gamma + y)  + ifelse(callM <= call0, -1, 1) *
sqrt(gamma - y))

incidentally, I would write
   sig <- (sqrt(gamma + y) - sqrt(gamma - y))/sqrt(T)
instead of
   sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))

--
Don MacQueen
Lawrence Livermore National Laboratory
7000 East Ave., L-627
Livermore, CA 94550
925-423-1062
Lab cell 925-724-7509
 
 

?On 9/20/18, 8:08 AM, "R-help on behalf of Lynette Chang"
<r-help-bounces at r-project.org on behalf of momtoomax at gmail.com>
wrote:

    Hello everyone,
    
         I?ve a function with five input argument and one output number. 
    	  impVolC <- function(callM, K, T, F, r)
    
         I hope this function can take five vectors as input, then return one
vector as output. My vectorization ran into problems with the nested if-else
operation. As a result, I have to write another for loop to call this function.
Can anyone suggest some methods to overcome it? I put my code below, thanks.
    
    impVolC <- function(callM, K, T, F, r){
    
    
     if(y >= 0){
         call0 <- K*exp(-r*T)*(exp(y)*polya(sqrt(2*y)) - 0.5)
         if(callM <= call0){
           sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
         }else{
           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
         }
     }else{
         call0 <- K*exp(-r*T)*(exp(y)/2 - polya(-sqrt(-2*y)))
         if(callM <= call0){
           sig <- 1/sqrt(T)*(-sqrt(gamma + y) + sqrt(gamma - y))
         }else{
           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
         }
     }
     sig
    } 
    
    for(i in 1:length(call)){
     sigV[i] <- impVolC(callM = call[i], K = df$Strike[i], T = T, F = F, r =
r_m)
    }
    
    ______________________________________________
    R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
    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.

Jeff Newmiller

2018-Sep-20 19:36 UTC

head link

[R] How to vectorize this function

re: your last comment... why do you prefer to multiply by the reciprocal?

On September 20, 2018 10:56:22 AM PDT, "MacQueen, Don via R-help"
<r-help at r-project.org> wrote:>In addition to what the other said, if callM is a vector then an
>expression of the form
>   if (callM <= call0)
>is inappropriate. Objects inside the parentheses of   if()  should have
>length one. For example,
>
>> if (1:5 < 3) 'a' else 'b'
>[1] "a"
>Warning message:
>In if (1:5 < 3) "a" else "b" :
>  the condition has length > 1 and only the first element will be used
>
>
>instead of what you have:
>         if(callM <= call0){
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
>         }else{
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
>        }
>
>Here are a couple of (untested) possibilities:
>
>  M.gt.0 <- callM > call0
>  sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
> sig[M.gt.0] <- (1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y)))[M.gt.0]
>
>or
>
>sig <- 1/sqrt(T)*(sqrt(gamma + y)  + ifelse(callM <= call0, -1, 1) *
>sqrt(gamma - y))
>
>incidentally, I would write
>   sig <- (sqrt(gamma + y) - sqrt(gamma - y))/sqrt(T)
>instead of
>   sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
>
>--
>Don MacQueen
>Lawrence Livermore National Laboratory
>7000 East Ave., L-627
>Livermore, CA 94550
>925-423-1062
>Lab cell 925-724-7509
> 
> 
>
>?On 9/20/18, 8:08 AM, "R-help on behalf of Lynette Chang"
><r-help-bounces at r-project.org on behalf of momtoomax at gmail.com>
wrote:
>
>    Hello everyone,
>    
>       I?ve a function with five input argument and one output number. 
>    	  impVolC <- function(callM, K, T, F, r)
>    
>I hope this function can take five vectors as input, then return one
>vector as output. My vectorization ran into problems with the nested
>if-else operation. As a result, I have to write another for loop to
>call this function. Can anyone suggest some methods to overcome it? I
>put my code below, thanks.
>    
>    impVolC <- function(callM, K, T, F, r){
>    
>    
>     if(y >= 0){
>         call0 <- K*exp(-r*T)*(exp(y)*polya(sqrt(2*y)) - 0.5)
>         if(callM <= call0){
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
>         }else{
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
>         }
>     }else{
>         call0 <- K*exp(-r*T)*(exp(y)/2 - polya(-sqrt(-2*y)))
>         if(callM <= call0){
>           sig <- 1/sqrt(T)*(-sqrt(gamma + y) + sqrt(gamma - y))
>         }else{
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
>         }
>     }
>     sig
>    } 
>    
>    for(i in 1:length(call)){
>sigV[i] <- impVolC(callM = call[i], K = df$Strike[i], T = T, F = F, r
>r_m)
>    }
>    
>    ______________________________________________
>    R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
>    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.
>    
>
>______________________________________________
>R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
>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.
-- 
Sent from my phone. Please excuse my brevity.

Lynette Chang

2018-Sep-20 21:46 UTC

head link

[R] How to vectorize this function

Here are the code and data file. I?m not sure if I put too much unrelated
information here.

My goal is to factor out volatilities from the data. I hope I can get sigV <-
impVolC(callM, K, T, F, r), which has five vectors as input, and one vector as
output. The length of all those six vectors are the same. However, I got stuck
in the nested if-else sentence, as if-condition cannot handle vectors. I rewrite
it as you guys suggestions, however, I still have one layer of if-condition. Any
thoughts to improve it? Thanks.

Lynette

-------------- next part --------------


df <- read.csv(file = "/S&P500_ETF_Option_0917.csv", header =
TRUE,
               colClasses = c("integer", "character",
"numeric", "numeric", "numeric",
                              "character", "numeric",
"numeric", "numeric"))

call <- (df$callBid + df$callAsk)/2
put <- (df$putBid + df$putAsk)/2

y <- call - put
A <- cbind(rep(1, dim(df)[1]), -df$Strike)

x <- solve(t(A)%*%A)%*%t(A)%*%y
PVF <- x[1]
disc <- x[2]

S <- 2381



library(timeDate)
# Lets work in your environment:
getRmetricsOptions("myFinCenter")
setRmetricsOptions(myFinCenter = "America/New_York")

# define a sequence of days with  timeSequence 
t1 <- timeSequence(from = "2017-03-16", to =
"2017-09-29")

# Define a calendar for your exchange (use an available one as a template, e.g.
holidayNYSE)
# subindex the sequence with isBizday using your calendar as an argument 
holidayNYSE(2017)
isBizday(t1, holidayNYSE())
t2 <- t1[isBizday(t1, holidayNYSE(2017))]

T <- length(t2)/252
q_m <- -log(PVF/S)/T
r_m <- log(disc)/(-T)


polya <- function(x){
  1/2 + sign(x)/2* sqrt(1- exp(-2*x^2/pi))
}
impVolC <- function(callM, K, T, F, r){
  
  y <- log(F/K)
  alpha <- callM/(K*exp(-r*T))
  R <- 2*alpha - exp(y) + 1
  
  A <- (exp((1 - 2/pi)*y) - exp(-(1 - 2/pi)*y))^2
  B <- 4*(exp(2/pi*y) + exp(-2/pi*y)) -
2*exp(-y)*(exp((1-2/pi)*y)+exp(-(1-2/pi)*y))*(exp(2*y) + 1 - R^2)
  C <- exp(-2*y)*(R^2 - (exp(y) -1)^2)*((exp(y) + 1)^2 - R^2)
  
  beta <- (2*C)/(B + sqrt(B^2 + 4*A*C))
  gamma <- -pi/2*log(beta)
  
  if(y >= 0){
    call0 <- K*exp(-r*T)*(exp(y)*polya(sqrt(2*y)) - 0.5)
    sig <- (sqrt(gamma + y)  + ifelse(callM <= call0, -1, 1) * sqrt(gamma
- y))/sqrt(T)
  }else{
    call0 <- K*exp(-r*T)*(exp(y)/2 - polya(-sqrt(-2*y)))
    sig <-  (ifelse(callM <= call0, -1, 1)*sqrt(gamma + y)  +  sqrt(gamma
- y))/sqrt(T)
  }
  sig
}

F <- PVF*exp(r_m*T)
sigV <- rep(0, length(call))

for(i in 1:length(call)){
  sigV[i] <- impVolC(callM = call[i], K = df$Strike[i], T = T, F = F, r =
r_m)
}

> On Sep 20, 2018, at 1:56 PM, MacQueen, Don <macqueen1 at llnl.gov>
wrote:
> 
> In addition to what the other said, if callM is a vector then an expression
of the form
>   if (callM <= call0)
> is inappropriate. Objects inside the parentheses of   if()  should have
length one. For example,
> 
>> if (1:5 < 3) 'a' else 'b'
> [1] "a"
> Warning message:
> In if (1:5 < 3) "a" else "b" :
>  the condition has length > 1 and only the first element will be used
> 
> 
> instead of what you have:
>         if(callM <= call0){
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
>         }else{
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
>        }
> 
> Here are a couple of (untested) possibilities:
> 
>  M.gt.0 <- callM > call0
>  sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
>  sig[M.gt.0] <- (1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y)))[M.gt.0]
> 
> or
> 
>    sig <- 1/sqrt(T)*(sqrt(gamma + y)  + ifelse(callM <= call0, -1, 1)
* sqrt(gamma - y))
> 
> incidentally, I would write
>   sig <- (sqrt(gamma + y) - sqrt(gamma - y))/sqrt(T)
> instead of
>   sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
> 
> --
> Don MacQueen
> Lawrence Livermore National Laboratory
> 7000 East Ave., L-627
> Livermore, CA 94550
> 925-423-1062
> Lab cell 925-724-7509
> 
> 
> 
> ?On 9/20/18, 8:08 AM, "R-help on behalf of Lynette Chang"
<r-help-bounces at r-project.org on behalf of momtoomax at gmail.com>
wrote:
> 
>    Hello everyone,
> 
>         I?ve a function with five input argument and one output number. 
>    	  impVolC <- function(callM, K, T, F, r)
> 
>         I hope this function can take five vectors as input, then return
one vector as output. My vectorization ran into problems with the nested if-else
operation. As a result, I have to write another for loop to call this function.
Can anyone suggest some methods to overcome it? I put my code below, thanks.
> 
>    impVolC <- function(callM, K, T, F, r){
> 
> 
>     if(y >= 0){
>         call0 <- K*exp(-r*T)*(exp(y)*polya(sqrt(2*y)) - 0.5)
>         if(callM <= call0){
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) - sqrt(gamma - y))
>         }else{
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
>         }
>     }else{
>         call0 <- K*exp(-r*T)*(exp(y)/2 - polya(-sqrt(-2*y)))
>         if(callM <= call0){
>           sig <- 1/sqrt(T)*(-sqrt(gamma + y) + sqrt(gamma - y))
>         }else{
>           sig <- 1/sqrt(T)*(sqrt(gamma + y) + sqrt(gamma - y))
>         }
>     }
>     sig
>    } 
> 
>    for(i in 1:length(call)){
>     sigV[i] <- impVolC(callM = call[i], K = df$Strike[i], T = T, F = F,
r = r_m)
>    }
> 
>    ______________________________________________
>    R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
>    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.
> 
>

R help - Sep 2018 - How to vectorize this function

[R] How to vectorize this function

[R] How to vectorize this function

[R] How to vectorize this function

[R] How to vectorize this function

[R] How to vectorize this function

[R] How to vectorize this function