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Asked by Locks
on 9 May 2013

Hi,

I have this function here:

function HestonCallPriceF

x0 = [1.1768 0.082259 0.83746 -0.54589]; %parameters: psi m xi rho PC = 1; F = 100; K = 100; T = 0.2; r = 0.04; V0 = 0.02;

CallPriceF(PC, F, K, T, r, V0, x0) %Delta epsD = abs(F)*eps^(1/6); Delta=(CallPriceF(PC, F+epsD, K, T, r, V0, x0)-CallPriceF(PC, F-epsD, K, T, r, V0, x0))/(2*epsD) %Vega epsV = abs(V0)*eps^(1/6); Vega=(CallPriceF(PC, F, K, T, r, V0+epsV, x0)-CallPriceF(PC, F-epsD, K, T, r, V0-epsV, x0))/(2*epsV)

Which is working fine for those inputs:

PC = 1; F = 100; K = 100; T = 0.2; r = 0.04; V0 = 0.02;

Which I have used above. Indest of having this inputs, I would like the function to compute me the delta and vega for each row of a matrix and therefore I tried to replace those iputs:

PC = 1; F = 100; K = 100; T = 0.2; r = 0.04; V0 = 0.02;

with this here:

PC=data9(1,3); F=data9(1,1); K=data9(1,2); T=data9(1,5); r=data9(1,7); V0=(data9(1,8)/100)^2;

For some reason this is not working.

I would like to store the deltas and vegas in two additional vectors which I then add to the existing matrix called data9

is there a way to do this or where is the mistake I am making?

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Answer by Matt Tearle
on 9 May 2013

Edited by Matt Tearle
on 9 May 2013

Accepted answer

*"this is not working"* What is the error message you're getting?

Is there any reason to have `HestonCallPriceF` be a function? It has no inputs or outputs. Why not just comment out the function declaration line and run it as a script? Then you can at least see what's going on a bit easier, without having to go fully into debug mode.

In fact, the problem may well be that it's a function -- I don't see anywhere that `data9` is defined within the function. If `data9` is a variable in your base workspace and you're expecting it to be available within `HestonCallPriceF`, then that's your problem right there.

Locks
on 9 May 2013

I guess the problem is excatly what you've mentionned in the last sentence. data9 is a matrix in my workspace and I woudl like to run the function based on that.

I tried to amend the function to get it running, but this here is not working as well:

function data10=HestonCallPriceF(data9)

data10= zeros(size(data9,1),10); data10(:,1:9)=data9;

The error message I get is the following:

Error using HestonCallPriceF (line 4) Not enough input arguments.

Line 4 is the following:

data10= zeros(size(data9,1),10);

%x0 = [1.1768 0.082259 0.83746 -0.54589]; %parameters: psi m xi rho %PC = 1; F = 100; K = 100; T = 0.2; r = 0.04; V0 = 0.02; %PC = data9(1,3); F = 100; K = 100; T = 0.2; r = 0.04; V0 = 0.02; PC=data10(:,3); F=data10(:,1); K=data10(:,2);T=data10(:,5);r=data10(:,7);V0=data10(:,8); %PC=data9(1,3); F=data9(1,1); K=data9(1,2); T=data9(1,5); r=data9(1,7); V0=(data9(1,8)/100)^2;

CallPriceF(PC, F, K, T, r, V0, x0) %Delta epsD = abs(F)*eps^(1/6); Delta=(CallPriceF(PC, F+epsD, K, T, r, V0, x0)-CallPriceF(PC, F-epsD, K, T, r, V0, x0))/(2*epsD) %Vega epsV = abs(V0)*eps^(1/6); Vega=(CallPriceF(PC, F, K, T, r, V0+epsV, x0)-CallPriceF(PC, F-epsD, K, T, r, V0-epsV, x0))/(2*epsV)

data10(:,10)=Delta

Matt Tearle
on 9 May 2013

It sounds like you're calling `HestonCallPriceF` without any inputs. (MATLAB doesn't care about this **until** you try to use an input that you haven't provided. In this case, that happens on line 4, where you reference `size(data9,1)`.) If you have `data9` in the base workspace, you need to call `HestonCallPriceF` with that as an input explicitly:

>> HestonCallPriceF(data9)

## 1 Comment

## Jordan Monthei

Direct link to this comment:http://www.mathworks.com/matlabcentral/answers/75167#comment_148077

why not have a loop that goes through each element of your input vectors one at a time and calculates the delta vega with the output then being placed in an output vector?