[R] repeat a function
Eric.Pueyo at avivainvestors.com
Eric.Pueyo at avivainvestors.com
Fri Nov 3 12:16:20 CET 2017
Thanks Petr. Really appreciated!
Many thanks,
Eric
-----Original Message-----
From: PIKAL Petr [mailto:petr.pikal at precheza.cz]
Sent: 03 November 2017 07:54
To: Eric Pueyo; r-help at r-project.org
Subject: RE: [R] repeat a function
Hi
Well, I am not an expert in this field so I cannot comment your approach. I wanted only to point out that building matrix your way is like scratching your left ear with right hand, especially in R. What if you want increase size of your matrix?
E.g. you use function ProbUP once for row "0" and than for rows different from jmax (if I correctly understand your code). Use of any function depends on two parameters (row and column, let them call u and v)
> ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a,
> dt)) / 2) ######### Probability X going up
> ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> ######## Probability X going middle
> ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 -
> j * Mfactor(a,
> dt)) / 2)
Functions are quite similar, you basically need to find how combination of row and column number results in desired j value. However it could be quite tricky and if your approach works and you do not want to extend it or to make it more general, you could stay with it.
Cheers
Petr
> -----Original Message-----
> From: Eric.Pueyo at avivainvestors.com
> [mailto:Eric.Pueyo at avivainvestors.com]
> Sent: Thursday, November 2, 2017 5:54 PM
> To: PIKAL Petr <petr.pikal at precheza.cz>; r-help at r-project.org
> Subject: RE: [R] repeat a function
>
> Hi Petr,
>
> Many thanks for your response.
>
> Basically I want to create a probability matrix to be used in a
> trinomial tree going forward. This is the reason why I thought to
> build the matrix around 0 would be much more efficient. I need to loop
> through because the probabilities will depend on my node and is not
> always the same per row (e.g. if N> jmax, jmax being defined in
> another function) I found a workaround. Please see below.
> Thereafter I want to optimize this function. Hopefully it works.
>
> Many thanks,
> Eric
>
> HWMProb <- function(N) {
> ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a,
> dt)) / 2) ######### Probability X going up
> ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> ######## Probability X going middle
> ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 - j * Mfactor(a,
> dt)) / 2) ####### Probability X going down
> TOPProbUP<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + 3 * j *
> Mfactor(a, dt)) / 2 ####### Top branch probability going up
> TOPProbMID<- function(a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 - 2 * j *
> Mfactor(a, dt) ####### Top branch probability going MID
> TOPProbDWN<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + j *
> Mfactor(a, dt)) / 2 ####### Top branch probability going DOWN
> BTTMProbUP<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - j *
> Mfactor(a, dt)) / 2 ####### Bottom branch probability going u
> BTTMProbMID<- function( a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 + 2 * j *
> Mfactor(a, dt) ####### Bottom branch probability going MID
> BTTMProbDWN<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - 3 * j *
> Mfactor(a, dt)) / 2 ####### Bottom branch probability going DOWN
>
> if (N>jmax) N=jmax
>
> for (j in 0:N) {
> if (j==0) {
> prb["0","1"] <<- ProbUP(a,j,dt)
> prb["0","0"] <<- ProbMID(a,j,dt)
> prb["0","-1"] <<- ProbDWN(a,j,dt)
> }
> else {
> if (j==jmax) {
> prb[paste(j,sep = ""),"1"] <<- TOPProbUP(a,j,dt)
> prb[paste(j,sep = ""),"0"] <<- TOPProbMID(a,j,dt)
> prb[paste(j,sep = ""),"-1"] <<- TOPProbDWN(a,j,dt)
> prb[paste(-j,sep = ""),"1"] <<- BTTMProbUP(a,-j,dt)
> prb[paste(-j,sep = ""),"0"] <<- BTTMProbMID(a,-j,dt)
> prb[paste(-j,sep = ""),"-1"] <<- BTTMProbDWN(a,-j,dt)
> }
> else {
> prb[paste(j,sep = ""),"1"] <<- ProbUP(a,j,dt)
> prb[paste(j,sep = ""),"0"] <<- ProbMID(a,j,dt)
> prb[paste(j,sep = ""),"-1"] <<- ProbDWN(a,j,dt)
> prb[paste(-j,sep = ""),"1"] <<- ProbUP(a,-j,dt)
> prb[paste(-j,sep = ""),"0"] <<- ProbMID(a,-j,dt)
> prb[paste(-j,sep = ""),"-1"] <<- ProbDWN(a,-j,dt)
> } # Close 2nd IF
> } # Close 1st IF
> } #end for
> }
>
>
> -----Original Message-----
> From: PIKAL Petr [mailto:petr.pikal at precheza.cz]
> Sent: 02 November 2017 15:56
> To: Eric Pueyo; r-help at r-project.org
> Subject: RE: [R] repeat a function
>
> Hi Eric
>
> I did not see any answer and frankly speaking I cannot provide you
> with canned help.
>
> AFAIK if a function is defined within another function (which is your
> case) it cannot be called directly so it is necessary to define it in global environment.
>
> > fff <- function(x) {
> + myf <- function(a) a+2
> + myf(x)^2}
> >
> > fff(5)
> [1] 49
> > myf(5)
> Error in myf(5) : could not find function "myf"
> >
>
> Your function set is quite complicated but I wonder why would it be
> necessary to use for cycle for what seems to be simple table.
> Everything seems quite deterministic.
>
> Basically you have combination of rows (-2,-1,0,1,2) and columns -1,-,1.
> expand.grid(u=-2:2, v=-1:1)
> for each row you can than use one function with parameters u, v and a and dt.
> After you calculate vector of results, you can easily transform it to
> matrix by setting dim argument to it.
>
> Cheers
> Petr
>
> > -----Original Message-----
> > From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of
> > Eric.Pueyo at avivainvestors.com
> > Sent: Wednesday, November 1, 2017 1:31 PM
> > To: r-help at r-project.org
> > Subject: [R] repeat a function
> >
> > I want to populate the matrix prb through the function HWMProb <-
> > function
> > (a,j,dt) that encapsulates different functions (please see code
> > below), using j=
> > 0:2 for each j.
> >
> > It only populates prb if I specify each function independently in
> > the global environment and then run the loop with the iF statement,
> > as per
> below.
> > for (j in 0:2) {
> > if (j==0) {
> > prb["0","1"] <- ProbUP(a,j,dt)
> > prb["0","0"] <- ProbMID(a,j,dt)
> > prb["0","-1"] <- ProbDWN(a,j,dt)
> > }
> > else {
> > if (j==jmax) {
> > prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
> > prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
> > prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
> > prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
> > prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
> > prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
> > }
> > else {
> > prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
> > prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
> > prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
> > prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
> > prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
> > prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
> > } # Close 2nd IF
> > } # Close 1st IF
> > }
> >
> > Many thanks in advance.
> > Kind regards,
> >
> > Eric Pueyo
> > Investment Risk Analyst
> > Email:
> > Eric.Pueyo at avivainvestors.com<mailto:Eric.Pueyo at avivainvestors.com>
> > D: +44 (0)20 7809 8070
> > No. 1 Undershaft, London EC3P 3DQ
> > Web:
> > www.avivainvestors.com<https://urldefense.proofpoint.com/v2/url?u=ht
> > tp
> > -
> >
> 3A__www.avivainvestors.com_&d=CwMFAg&c=zUO0BtkCe66yJvAZ4cAvZg&r=-
> > 34SVFvqwmZvbxD0ShuYglbuijP84lygitjFgiP1fxI&m=kRg3I7ESFxV-
> > KaNbYHN6DPupgyEmFCiThNO6oDnpAFs&s=tQa1EuXKNfzRgiR2HgG0H_tW_X-
> > BCpgebe5AL9A_GC8&e=>
> >
> > jmax<-2
> > prb <-matrix(0L,nrow=5, ncol=3)
> > rownames(prb) <- c(seq(-2,2, by = 1))
> > colnames(prb) <- c(-1,0,1)
> > a<- 0.1
> > dt<-1
> >
> > ExpX <-function(x,a,dt) { ######Defines the Expectation of X
> > on t+1 | t
> > ExpX <- x*exp(-a*dt)
> > ExpX
> > }
> > Mfactor<-function(a,dt) { #######Factor multiplicative
> > Mfactor<- exp(-a*dt)-1
> > Mfactor
> > }
> > VarX <-function(sigma,a,dt) { #######Defubes the Variance of X
> > on t+1 | t
> > VarX <- (sigma^2/(2*a))*(1-exp(-2*a*dt))
> > VarX
> > }
> > DeltaX <-function(sigma,a,dt) { ######Defines the change of X
> > DeltaX<- sqrt(3*VarX(sigma,a,dt))
> > DeltaX<-value(DeltaX)
> > }
> >
> > Mfactor<-function(a,dt) { #######Factor multiplicative
> > Mfactor<- exp(-a*dt)-1
> > Mfactor
> > }
> >
> > KNode<-function(sigma,x,a,j,dt) { ######Central Node
> > KNode<- round(ExpX(x,a,dt)/DeltaX(sigma,a,dt))
> > KNode
> > }
> >
> > ####### Probability Calculations taking into account different
> > branches HWMProb <- function (a,j,dt) {
> > ######################### DESCRIPTION
> > #####################################
> > ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a,
> > dt)) / 2) ######### Probability X going up
> > ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> > ######## Probability X going middle
> > ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2
> > - j *
> Mfactor(a,
> > dt)) / 2) ####### Probability X going down
> > TOPProbUP<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + 3 * j *
> > Mfactor(a, dt)) / 2 ####### Top branch probability going up
> > TOPProbMID<- function(a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 - 2 * j *
> > Mfactor(a, dt) ####### Top branch probability going MID
> > TOPProbDWN<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + j *
> > Mfactor(a, dt)) / 2 ####### Top branch probability going DOWN
> > BTTMProbUP<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - j *
> > Mfactor(a, dt)) / 2 ####### Bottom branch probability going u
> > BTTMProbMID<- function( a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 + 2 * j *
> > Mfactor(a, dt) ####### Bottom branch probability going MID
> > BTTMProbDWN<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - 3 * j *
> > Mfactor(a, dt)) / 2 ####### Bottom branch probability going DOWN
> >
> > if (j==0) {
> > prb["0","1"] <- ProbUP(a,j,dt)
> > prb["0","0"] <- ProbMID(a,j,dt)
> > prb["0","-1"] <- ProbDWN(a,j,dt)
> > }
> > else {
> > if (j==jmax) {
> > prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
> > prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
> > prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
> > prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
> > prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
> > prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
> > }
> > else {
> > prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
> > prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
> > prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
> > prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
> > prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
> > prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
> > } # Close 2nd IF
> > } # Close 1st IF
> > } #Close Formula
> >
> > for (j in 0:2) {
> > HWMProb(a,j,dt)
> >
> > }
> >
> >
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