Question

在R中设置这些积分项时遇到问题。我创建了“term1”以更容易地将其插入到整数代码中，但在尝试不同的代码后我会不断收到各种错误消息。任何帮助或发现问题将不胜感激。

## 
S<-readline(prompt="Enter underlying instrument price:") 
X<-readline(prompt="Enter strike price:") 
V<-readline(prompt="Enter absolute volatility in dollars:") 
r<-readline(prompt="Enter risk-free rate (%):") 
q<-readline(prompt="Enter dividend yield (%):") 
T<-readline(prompt="Enter time to maturity, in fraction of years:") 
t=0 

## 
S<-as.numeric(S) 
X<-as.numeric(X) 
V<-as.numeric(V) 
r<-as.numeric(r)/100 
q<-as.numeric(q)/100 
T<-as.numeric(T) 

##Bond Price 
B<-exp(r*(T-t))

##Volatility
vol<-function(start,end,rate,yield,B) {
if(r==q){
V*(sqrt((B-1)/(2*(r-q))))
}
else{ 
V*(sqrt(T-t))
}
}

##d
d<-(S*B-X)/vol()

##N(d)
term1<-(exp(-(r^2)/2)/sqrt(2*pi))

#Call
Nc<-function(term1){
Nc<-((integrate(term1,-Inf,d)))}

#Put
Np<-function(term1){
Np<-(-(integrate(term1,-Inf,d)))}

这些是我得到的错误

> Nc(term1)
Error in get(as.character(FUN), mode = "function", envir = envir) : 
object 'term1' of mode 'function' was not found 

> Nc()
Error in match.fun(f) : argument "term1" is missing, with no default

Answer 1

嗯，最大的问题是：您是否阅读了函数integrate的文档？

您分配给该函数的第一个参数必须是一个函数。

第二个问题是，你定义的函数Nc没有返回任何输出（你可以通过不将integrate的结果赋给一个对象来修复它，而只是返回它。相同的是Np.Np的另一个问题是，它实际上会向一元运算符返回一个错误＆＃34;意外的参数＆＃34;

无论如何，这里的代码有一些变化：

## Assign some "random" numbers to the variables, so that I can run the script
S<-100
X<-110
V<-3
r<-10
q<-15
# Is it a good idea to have variable called T? T stands also for TRUE
T <- 10
t=0 

## 
S<-as.numeric(S) 
X<-as.numeric(X) 
V<-as.numeric(V) 
r<-as.numeric(r)/100 
q<-as.numeric(q)/100 
T<-as.numeric(T) 

##Bond Price 
B<-exp(r*(T-t))

##Volatility
vol<-function(start,end,rate,yield,B) {
        if(r==q){
                V*(sqrt((B-1)/(2*(r-q))))
        }
        else{ 
                V*(sqrt(T-t))
        }
}

##d
d<-(S*B-X)/vol()

# make term1 a function of r, so that there is actually something to integrate...
term1<-function(r) {(exp(-(r^2)/2)/sqrt(2*pi))}

# Do not assign the result of integration to an object, otherwise there will be no output from the function
Nc<-function(term1){
        ((integrate(term1,-Inf,d)))}

# In order to use the minus sign, you have to extract the value from the result of function "integrate"
Np<-function(term1){
        (-(integrate(term1,-Inf,d)$value))}

match.fun（f）出错：缺少参数“term1”，没有默认值

1 个答案: