Subscripted assignment dimension mismatch.

Hi all,

every time I run this function I get the following error message:

Subscripted assignment dimension mismatch.

Error in volas (line 12)
                 LMMVol(i,j) = RebonatoFormula(point(4), point(5), point(6),
                 point(7), psi, point(1:3), maturities, rates, i, i+j)
                 %tenorDate+tenorDate

function [sse] = volas(point, tenorDate, maturities, rates, maturity, marketData) %point=[beta(1) beta(2) beta(3) a b c d]

          LMMVol=zeros(tenorDate-1);

          alph=[point(4) point(5) point(6) point(7)];

          psi =  CoTerminalVolaCallibration(alph, point(1:3), maturities, rates, maturity, tenorDate, tenorDate+tenorDate, marketData);

          for i=1:tenorDate-1
              for j=1:tenorDate-i
                   %RebonatoFormula
                   LMMVol(i,j) = RebonatoFormula(point(4), point(5), point(6), point(7), psi, point(1:3), maturities, rates, i, i+j) %tenorDate+tenorDate

                   CompData(i,j) = marketData(i,j)
              end
          end
          errors = LMMVol - CompData;
          sse = sum(sum(errors .^ 2));

end

when i take away (i,j) from LMMVol in line 12, the code works but instead of the needed LMMVol-Matrix with dimension tenorLength-1 (or 10), I only get a scalar.

Does anyone know how I will get a matrix as a result?

Thanks a lot.

[the cyclist]

Can you supply examples of the input parameters, so that you have self-contained code that we can actually run and show the error?

Answer 1

[Iain]

The error is due to the fact that the RebonatoFormula function does not always output scalar values.

You need to determine exactly what it outputs, and handle that instead of assuming that it just outputs a scalar value.

Answer 2

[Mario]

absolutely:

function V =  RebonatoFormula(a, b, c, d, psi, beta, maturities, rates, maturity, tenorDate) %horizon

     CORR=CorrelationMatrix(beta, maturities, tenorDate-1, maturity, tenorDate);

     V=0;
     for indexI=maturity:tenorDate-1
         for indexJ=maturity:tenorDate-1
             test=quad(@vola,0,maturity);

              V=V+weights(indexI, maturity, tenorDate, rates)*weights(indexJ, maturity, tenorDate, rates)*rates(indexI)*rates(indexJ)*CORR(indexI,indexJ)*quad(@vola,0,maturity); %S.15 Formel (Zähler+Integral)
         end
     end

     V=sqrt((1/maturity)*V*(1./swapRate^2));

     function v = vola(time)

          v1  = VolFunc(a, b, c, d, psi(indexI), time, maturity);
          v2  = VolFunc(a, b, c, d, psi(indexJ), time, maturity);
          v   = v1.*v2;
     end

     function w = weights(index, maturity, tenorDate, rates)

          helper= cumprod(1./(1+rates(maturity:tenorDate-1)));
          nom   = helper(index-maturity+1);
          denom = cumsum(helper);
          w     = nom./denom(tenorDate-maturity);
     end

     function S = swapRate
              S = rates(maturity:tenorDate-1)*weights(maturity:tenorDate-1, maturity, tenorDate, rates)';
     end

end

function CORR = CorrelationMatrix(beta, maturities, horizon, startRate, endRate)
   CORR=zeros(endRate-startRate);
   for i = startRate:endRate
        for j = startRate:endRate
            CORR(i,j) = CorrFunc(beta, horizon, maturities(j), maturities(i));
        end
   end
end

Inputs:

marketData=[0.252000000000000,0.218000000000000,0.191000000000000,0.173000000000000,0.159000000000000,0.147000000000000,0.139000000000000,0.131000000000000,0.128000000000000,0.124000000000000;0.235000000000000,0.201000000000000,0.179000000000000,0.163000000000000,0.150000000000000,0.140000000000000,0.133000000000000,0.125100000000000,0.122000000000000,0.118000000000000;0.214000000000000,0.187000000000000,0.168000000000000,0.153000000000000,0.142000000000000,0.132000000000000,0.126000000000000,0.119000000000000,0.117000000000000,0.113000000000000;0.194000000000000,0.174000000000000,0.157000000000000,0.144000000000000,0.134000000000000,0.126000000000000,0.120000000000000,0.114000000000000,0.111000000000000,0.108000000000000;0.180000000000000,0.163000000000000,0.147000000000000,0.135000000000000,0.127000000000000,0.119000000000000,0.114000000000000,0.108000000000000,0.106000000000000,0.103000000000000;0.168000000000000,0.153000000000000,0.138000000000000,0.130000000000000,0.122000000000000,0.116000000000000,0.112000000000000,0.106000000000000,0.104000000000000,0.101000000000000;0.159000000000000,0.146000000000000,0.134000000000000,0.126000000000000,0.120000000000000,0.115000000000000,0.111000000000000,0.106000000000000,0.104000000000000,0.101000000000000;0.151000000000000,0.140000000000000,0.130000000000000,0.124000000000000,0.118000000000000,0.113000000000000,0.109000000000000,0.104000000000000,0.103000000000000,0.100000000000000;0.145000000000000,0.135000000000000,0.128000000000000,0.121000000000000,0.116000000000000,0.111000000000000,0.108000000000000,0.103000000000000,0.102000000000000,0.099000000000000;0.139000000000000,0.132000000000000,0.125000000000000,0.119000000000000,0.115000000000000,0.111000000000000,0.108000000000000,0.103000000000000,0.102000000000000,0.099000000000000];

rates=[.0299 .0366 .041 .0444 .0475 .0497 .0514 .0522 .053 .054]';
maturity = 1;
maturities = [[3,4,5,6,7,8,9,10,11,12;4,5,6,7,8,9,10,11,12,13;5,6,7,8,9,10,11,12,13,14;6,7,8,9,10,11,12,13,14,15;7,8,9,10,11,12,13,14,15,16;8,9,10,11,12,13,14,15,16,17;9,10,11,12,13,14,15,16,17,18;10,11,12,13,14,15,7,17,18,19;11,12,13,14,15,16,17,18,19,20;12,13,14,15,16,17,18,19,20,21;]];
tenorDate = 11;
horizon= tenorDate+tenorDate;
startRate= 10;
endRate= tenorDate+tenorDate-2;
index=maturity:tenorDate-1;
psi=ones(1,tenorDate-1);
a=0;
b=.2;
c=.3;
d=.1;
beta=[.2 .1 .05]';
time=0;
time_k=10;
alph=[a b c d];
point=[beta(1) beta(2) beta(3) a b c d];