search for: europeanoptionimpliedvolatility

Displaying 1 result from an estimated 1 matches for "europeanoptionimpliedvolatility".

2010 Dec 02
1
using foreach (parallel processing)
...e on your machine cl.tmp = makeCluster(rep("localhost",4), type="SOCK") registerDoSNOW(cl.tmp) optData.df <- head(pristine,100000) system.time( optData.df$impliedVol <- foreach(i=1:NROW(optData.df),.packages="RQuantLib") %dopar% with(optData.df[i,], tryCatch({EuropeanOptionImpliedVolatility(type,value,underlying, strike, dividendYield, riskFreeRate, maturity, volatility)$impliedVol}, error = function (ex){0})) ) This works fine! PROBLEM: However, when I do the same but with optData.df <- pristine ... which has about 3.8 million options data ... the cores do not seem to be fully...