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i need calculate de implied volatility financial options using quantlib package r. i'm having trouble using iterations function "europeanoptionimpliedvolatility" because output object (called impliedvolatility).
largo = nrow(call26) #number of rows in data set impl_vol= vector("list",largo) for(i in largo){ impl_vol[[i]] = europeanoptionimpliedvolatility(type="call", value=valor_opcion[i], underlying=st[i], strike=strike[i], dividendyield=dividendo[i], riskfreerate=rf[i], maturity=maturity[i], volatility=0.4) }
the result of is:
list(null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, structure(list(impliedvol = 0.173643438965225, parameters = structure(list(type = "call", value = 52.95, underlying = 1497.66, strike = 1680, dividendyield = 0.01, riskfreerate = 0.04, maturity = 0.983561644, volatility = 0.4), .names = c("type", "value", "underlying", "strike", "dividendyield", "riskfreerate", "maturity", "volatility"))), .names = c("impliedvol", "parameters"), class = c("europeanoptionimpliedvolatility", "impliedvolatility")))
and need implied volatilities... wich if calculate single financial option can acces with
valor$impliedvol
what can do? thanks!
there's error in loop, instead of:
for(i in largo){
it's :
for(i in 1:largo){
because of error, implied volatility of last element (index 195
) computed (as can see in output structure have posted, first 194
list slots null
, last has value).
once have fixed typo, access value do:
impl_vol[[i]]$impliedvol
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