Where's the bug with my auxiliary function?
1 view (last 30 days)
Show older comments
Shawn Miller
on 10 Oct 2015
Commented: Stephen23
on 10 Oct 2015
My code is as follows, it includes a main function (FindVolatility) and a local function (selectOutput). The idea here is I'd like to select which price to compute: either call option or put option using blsprice function, and this is executed in the auxiliary function "selectOutput". Next, I'd like to calculate volatility using my auxiliary function and also using fzero function. But I got errors, who knows why? Thanks in advance!
function impVol=FindVolatility(S,K,r,T,q,number,c0)
impVol=fzero(@(x)selectOutput(S,K,r,T,x,q,number)-c0,0);
end
function c=selectOutput(S,K,r,T,sigma,q,number)
[callPrice,putPrice]=blsprice(S,K,r,T,sigma,q);
if number==1
c=callPrice;
else
c=putPrice;
end
end
2 Comments
Stephen23
on 10 Oct 2015
Edited: Stephen23
on 10 Oct 2015
What errors are you getting? Please give us the complete error messages (all of the red text), and show us how you are calling the function. Sorry, but our mind-reading abilities are a bit weak today, so you actually need to give us this information in writing.
Stephen23
on 10 Oct 2015
Accepted Answer
Walter Roberson
on 10 Oct 2015
Just like before, you are failing to constrain your input Volatility to be positive. When you use the one-value form of x0 in fzero then fzero is free to try negative numbers (and definitely will try negative numbers when you use 0 as the initial value.) You need to pass x0 as a vector of two elements, like I showed in your previous Question.
More Answers (0)
See Also
Categories
Find more on Financial Toolbox in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!