search for: presentvalu

...marketdata[1:460,10] bid <- marketdata[1:460,11] mid_bidask <- (bid + ask) /2 r <- 0.020 And my code: BS_Call <- function(S0, K, T, r, sigma, q) # Which works fine { sig <- sigma * sqrt(T) d1 <- (log (S0/K) + (r - q + sigma^2/2) * T ) / sig d2 <- d1 - sig Presentvalue <- exp(-r*T) return (S0 * exp(-q*T) * pnorm(d1) - K*Presentvalue*pnorm(d2)) } #I now define the function I later want to minimize with respect to r difference <- function (S0, K, T, r, sigma, q, mid) { return(BS_Call(S0, strike, T, r, sigma, q)- mid_bidask)) } # which gives 460 valu...

Dear R-users I need to calibrate kappa, rho, eta, theta, v0 in the following code, see below. However when I run it, I get: y <- function(kappahat, rhohat, etahat, thetahat, v0hat) {sum(difference(k, t, S0, X, r, implvol, q, kappahat, rhohat, etahat, thetahat, v0hat)^2)} > nlminb(start=list(kappa, rho, eta, theta, v0), objective = y, lower =lb, > upper =ub) Error in dots[[1L]][[1L]] :

I put header=TRUE and sep = “;” and my problem was resolved. read.csv("./scoreDb.csv",header = TRUE,sep=";" Best Regards, Sandro [[alternative HTML version deleted]]