Apply uniroot on vector
I would like to find the strike for a given delta using black-scholes. I am able to do this using uniroot for a single spot value and volatility value but would like for this to work across a vector of spot values and vector of volatility values. My below example is simplified, once it works I will expand to much bigger vectors...
I have seen there is a previous post using sapply on uniroot for a different problem. Have tried applying here and not getting much luck.
Would you be able to help me figure out how to do this?
Many thanks!
library(rootSolve)
library(ragtop)
CallPut <- 1 # Call
Spot <- c(110, 112, 114)
Rate <- 0 # For simplicity
T <- 0.5 # half a year
Vol <- c(0.07, 0.08, 0.09)
TargetDelta <- 0.5
Lower <- c(100, 102, 104)
Upper <- c(120, 122, 124)
solve.for.strike <- function(Strike) {
BS <- blackscholes(CallPut, Spot, Strike, Rate, T, Vol)
TargetDelta - BS$Delta
}
test <- uniroot(solve.for.strike, lower = Lower, upper = Upper)
Have also tried using uniroot.all but not working:
test <- uniroot.all(solve.for.strike, c(100, 120), lower = 100, upper = 120)
Have now added libraries.
If any guidance would be much appreciated.
r
asked Nov 22 '18 at 10:17
ArthurArthur
114
add a comment |
I would like to find the strike for a given delta using black-scholes. I am able to do this using uniroot for a single spot value and volatility value but would like for this to work across a vector of spot values and vector of volatility values. My below example is simplified, once it works I will expand to much bigger vectors...
I have seen there is a previous post using sapply on uniroot for a different problem. Have tried applying here and not getting much luck.
Would you be able to help me figure out how to do this?
Many thanks!
library(rootSolve)
library(ragtop)
CallPut <- 1 # Call
Spot <- c(110, 112, 114)
Rate <- 0 # For simplicity
T <- 0.5 # half a year
Vol <- c(0.07, 0.08, 0.09)
TargetDelta <- 0.5
Lower <- c(100, 102, 104)
Upper <- c(120, 122, 124)
solve.for.strike <- function(Strike) {
BS <- blackscholes(CallPut, Spot, Strike, Rate, T, Vol)
TargetDelta - BS$Delta
}
test <- uniroot(solve.for.strike, lower = Lower, upper = Upper)
Have also tried using uniroot.all but not working:
test <- uniroot.all(solve.for.strike, c(100, 120), lower = 100, upper = 120)
Have now added libraries.
If any guidance would be much appreciated.
r
asked Nov 22 '18 at 10:17
ArthurArthur
114
1
Functionblackscholescomes from what package? Not in base R so you should start the script withlibrary(pkgname).
– Rui Barradas
Nov 22 '18 at 10:21
add a comment |
I would like to find the strike for a given delta using black-scholes. I am able to do this using uniroot for a single spot value and volatility value but would like for this to work across a vector of spot values and vector of volatility values. My below example is simplified, once it works I will expand to much bigger vectors...
I have seen there is a previous post using sapply on uniroot for a different problem. Have tried applying here and not getting much luck.
Would you be able to help me figure out how to do this?
Many thanks!
library(rootSolve)
library(ragtop)
CallPut <- 1 # Call
Spot <- c(110, 112, 114)
Rate <- 0 # For simplicity
T <- 0.5 # half a year
Vol <- c(0.07, 0.08, 0.09)
TargetDelta <- 0.5
Lower <- c(100, 102, 104)
Upper <- c(120, 122, 124)
solve.for.strike <- function(Strike) {
BS <- blackscholes(CallPut, Spot, Strike, Rate, T, Vol)
TargetDelta - BS$Delta
}
test <- uniroot(solve.for.strike, lower = Lower, upper = Upper)
Have also tried using uniroot.all but not working:
test <- uniroot.all(solve.for.strike, c(100, 120), lower = 100, upper = 120)
Have now added libraries.
If any guidance would be much appreciated.
r
asked Nov 22 '18 at 10:17
ArthurArthur
114
I would like to find the strike for a given delta using black-scholes. I am able to do this using uniroot for a single spot value and volatility value but would like for this to work across a vector of spot values and vector of volatility values. My below example is simplified, once it works I will expand to much bigger vectors...
I have seen there is a previous post using sapply on uniroot for a different problem. Have tried applying here and not getting much luck.
Would you be able to help me figure out how to do this?
Many thanks!
library(rootSolve)
library(ragtop)
CallPut <- 1 # Call
Spot <- c(110, 112, 114)
Rate <- 0 # For simplicity
T <- 0.5 # half a year
Vol <- c(0.07, 0.08, 0.09)
TargetDelta <- 0.5
Lower <- c(100, 102, 104)
Upper <- c(120, 122, 124)
solve.for.strike <- function(Strike) {
BS <- blackscholes(CallPut, Spot, Strike, Rate, T, Vol)
TargetDelta - BS$Delta
}
test <- uniroot(solve.for.strike, lower = Lower, upper = Upper)
Have also tried using uniroot.all but not working:
test <- uniroot.all(solve.for.strike, c(100, 120), lower = 100, upper = 120)
Have now added libraries.
If any guidance would be much appreciated.
r
r
asked Nov 22 '18 at 10:17
ArthurArthur
114
asked Nov 22 '18 at 10:17
ArthurArthur
114
edited Nov 22 '18 at 10:42
Arthur
asked Nov 22 '18 at 10:17
ArthurArthur
114
asked Nov 22 '18 at 10:17
ArthurArthur
114
asked Nov 22 '18 at 10:17
ArthurArthur
114
114
1
Functionblackscholescomes from what package? Not in base R so you should start the script withlibrary(pkgname).
– Rui Barradas
Nov 22 '18 at 10:21
add a comment |
1
Functionblackscholescomes from what package? Not in base R so you should start the script withlibrary(pkgname).
– Rui Barradas
Nov 22 '18 at 10:21
1
1
Function
blackscholes comes from what package? Not in base R so you should start the script with library(pkgname).– Rui Barradas
Nov 22 '18 at 10:21
Function
blackscholes comes from what package? Not in base R so you should start the script with library(pkgname).– Rui Barradas
Nov 22 '18 at 10:21
add a comment |
1 Answer
1
active
oldest
votes
So I have played around and have come up with the following which loops across the vectors. BUT my question is really whether there is a way to apply a solve to the vector to avoid having to loop across each element in the vector?
If there is any more efficient or elegant solution to this than what I have come up with, am very interested.
CallPut <- 1 # Call
Spot <- c(110, 112, 114)
Rate <- 0 # For simplicity
T <- 0.5
Vol <- c(0.07, 0.08, 0.09)
solve.for.strike <- function(Strike, S, V, D) {
BS <- blackscholes(CallPut, S, Strike, 0, T, V)
D - BS$Delta
}
loop.uniroot <- function(i, delta) {
uniroot(solve.for.strike, lower=Spot[i]*0.95, upper=Spot[i]*1.05, S=Spot[i], V=Vol[i], D=delta)$root
}
test3 <- mapply(loop.uniroot, 1:3, delta = 0.5)
test4 <- sapply(1:3, loop.uniroot, delta = 0.5)
answered Nov 22 '18 at 12:29
ArthurArthur
114
Check out the functionvapply- it is the most efficient of theapplyfamily (something likevapply(1:3, loop.uniroot, numeric(1), delta = 0.5)
– nate
Nov 22 '18 at 12:51
add a comment |
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So I have played around and have come up with the following which loops across the vectors. BUT my question is really whether there is a way to apply a solve to the vector to avoid having to loop across each element in the vector?
If there is any more efficient or elegant solution to this than what I have come up with, am very interested.
CallPut <- 1 # Call
Spot <- c(110, 112, 114)
Rate <- 0 # For simplicity
T <- 0.5
Vol <- c(0.07, 0.08, 0.09)
solve.for.strike <- function(Strike, S, V, D) {
BS <- blackscholes(CallPut, S, Strike, 0, T, V)
D - BS$Delta
}
loop.uniroot <- function(i, delta) {
uniroot(solve.for.strike, lower=Spot[i]*0.95, upper=Spot[i]*1.05, S=Spot[i], V=Vol[i], D=delta)$root
}
test3 <- mapply(loop.uniroot, 1:3, delta = 0.5)
test4 <- sapply(1:3, loop.uniroot, delta = 0.5)
answered Nov 22 '18 at 12:29
ArthurArthur
114
Check out the functionvapply- it is the most efficient of theapplyfamily (something likevapply(1:3, loop.uniroot, numeric(1), delta = 0.5)
– nate
Nov 22 '18 at 12:51
add a comment |
So I have played around and have come up with the following which loops across the vectors. BUT my question is really whether there is a way to apply a solve to the vector to avoid having to loop across each element in the vector?
If there is any more efficient or elegant solution to this than what I have come up with, am very interested.
CallPut <- 1 # Call
Spot <- c(110, 112, 114)
Rate <- 0 # For simplicity
T <- 0.5
Vol <- c(0.07, 0.08, 0.09)
solve.for.strike <- function(Strike, S, V, D) {
BS <- blackscholes(CallPut, S, Strike, 0, T, V)
D - BS$Delta
}
loop.uniroot <- function(i, delta) {
uniroot(solve.for.strike, lower=Spot[i]*0.95, upper=Spot[i]*1.05, S=Spot[i], V=Vol[i], D=delta)$root
}
test3 <- mapply(loop.uniroot, 1:3, delta = 0.5)
test4 <- sapply(1:3, loop.uniroot, delta = 0.5)
answered Nov 22 '18 at 12:29
ArthurArthur
114
Check out the functionvapply- it is the most efficient of theapplyfamily (something likevapply(1:3, loop.uniroot, numeric(1), delta = 0.5)
– nate
Nov 22 '18 at 12:51
add a comment |
So I have played around and have come up with the following which loops across the vectors. BUT my question is really whether there is a way to apply a solve to the vector to avoid having to loop across each element in the vector?
If there is any more efficient or elegant solution to this than what I have come up with, am very interested.
CallPut <- 1 # Call
Spot <- c(110, 112, 114)
Rate <- 0 # For simplicity
T <- 0.5
Vol <- c(0.07, 0.08, 0.09)
solve.for.strike <- function(Strike, S, V, D) {
BS <- blackscholes(CallPut, S, Strike, 0, T, V)
D - BS$Delta
}
loop.uniroot <- function(i, delta) {
uniroot(solve.for.strike, lower=Spot[i]*0.95, upper=Spot[i]*1.05, S=Spot[i], V=Vol[i], D=delta)$root
}
test3 <- mapply(loop.uniroot, 1:3, delta = 0.5)
test4 <- sapply(1:3, loop.uniroot, delta = 0.5)
answered Nov 22 '18 at 12:29
ArthurArthur
114
So I have played around and have come up with the following which loops across the vectors. BUT my question is really whether there is a way to apply a solve to the vector to avoid having to loop across each element in the vector?
If there is any more efficient or elegant solution to this than what I have come up with, am very interested.
CallPut <- 1 # Call
Spot <- c(110, 112, 114)
Rate <- 0 # For simplicity
T <- 0.5
Vol <- c(0.07, 0.08, 0.09)
solve.for.strike <- function(Strike, S, V, D) {
BS <- blackscholes(CallPut, S, Strike, 0, T, V)
D - BS$Delta
}
loop.uniroot <- function(i, delta) {
uniroot(solve.for.strike, lower=Spot[i]*0.95, upper=Spot[i]*1.05, S=Spot[i], V=Vol[i], D=delta)$root
}
test3 <- mapply(loop.uniroot, 1:3, delta = 0.5)
test4 <- sapply(1:3, loop.uniroot, delta = 0.5)
answered Nov 22 '18 at 12:29
ArthurArthur
114
answered Nov 22 '18 at 12:29
ArthurArthur
114
answered Nov 22 '18 at 12:29
ArthurArthur
114
answered Nov 22 '18 at 12:29
ArthurArthur
114
114
Check out the functionvapply- it is the most efficient of theapplyfamily (something likevapply(1:3, loop.uniroot, numeric(1), delta = 0.5)
– nate
Nov 22 '18 at 12:51
add a comment |
Check out the functionvapply- it is the most efficient of theapplyfamily (something likevapply(1:3, loop.uniroot, numeric(1), delta = 0.5)
– nate
Nov 22 '18 at 12:51
Check out the function
vapply - it is the most efficient of the apply family (something like vapply(1:3, loop.uniroot, numeric(1), delta = 0.5)– nate
Nov 22 '18 at 12:51
Check out the function
vapply - it is the most efficient of the apply family (something like vapply(1:3, loop.uniroot, numeric(1), delta = 0.5)– nate
Nov 22 '18 at 12:51
add a comment |
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1
Function
blackscholescomes from what package? Not in base R so you should start the script withlibrary(pkgname).– Rui Barradas
Nov 22 '18 at 10:21