quadgk error when using parameter vectors
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Hi guys,
I am currently trying to make this code work and it works for single parameters. But as soon as I insert a vector for S and/or v, the function won't work anymore.
I get the following error messages:
#####
Error in
HestonCall>@(w)(exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh)./(I*w-w.^2))
(line 9)
inte =
@(w)(exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh)./(I*w-w.^2));
Error in quadgk/evalFun (line 330)
fx = FUN(x);
Error in quadgk/vadapt (line 249)
[fx,too_close] = f(x);
Error in quadgk (line 148)
[q,errbnd] = vadapt(@evalFun,tinterval);
Error in HestonCall (line 19)
R3t =
exp(-r*t).*quadgk(inte,-trunc+2i,trunc+2i)/(2*pi);
Error in Untitled (line 34)
Call_price =
HestonCall(S,K,v,r,t,kp,et,sm,rh,ld,trunc,greek)
#####
I have the feeling that it must have something to do with the quadgk formula, but I'm not sure how to fix it.
Thanks in advance!
Chris
function R3 = HestonCall(S,K,v,r,t,kp,et,sm,rh,ld,trunc,greek)
if nargin < 11, trunc = 100; greek=1; end
I = sqrt(-1);
x = log(S)+r*t;
switch greek
case 1 % price
inte = @(w)(exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh)./(I*w-w.^2));
case 2 % delta
inte = @(w)(-I*w./S.*exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh)./(I*w-w.^2));
case 3 % gama
inte = @(w)(-(w.^2)./(S^2).*exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh)./(I*w-w.^2));
case 4 % vega
inte = @(w)(exp(-I*w*x).*(K.^(1+I*w)).*Ffun(t,w,v,kp,ld,et,sm,rh,1)./(I*w-w.^2));
end
R3t = exp(-r*t).*quadgk(inte,-trunc+2i,trunc+2i)/(2*pi);
R3 = real(R3t);
end
function R1 = Ffun(t,w,v,kp,ld,et,sm,rh,Indi)
if nargin<9
Indi = 0;
end
I = sqrt(-1);
d = sqrt((rh*sm*I*w+kp+ld).^2+(w.^2-I*w).*(sm^2));
g = (kp+ld+rh*sm*I*w+d)./(kp+ld+rh*sm*I*w-d);
D = ((kp+ld+rh*sm*I*w+d)/(sm^2)).*(1-exp(d*t))./(1-g.*exp(d*t));
C = kp*et*((kp+ld+rh*sm*I*w+d)*t-2*log((1-g.*exp(d*t))./(1-g)))/(sm^2);
if Indi ==0
R1 = exp(C + D.*v);
else
R1 =D.*exp(C+D.*v);
end
end
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