repeat a function

Previous Topic Next Topic
 
classic Classic list List threaded Threaded
6 messages Options
Reply | Threaded
Open this post in threaded view
|

repeat a function

Eric.Pueyo
I want to populate the matrix prb through the function HWMProb <- function (a,j,dt) that encapsulates different functions (please see code below), using j= 0:2 for each j.

It only populates prb if I specify each function independently in the global environment and then run the loop with the iF statement, as per below.
for (j in 0:2) {
  if (j==0) {
    prb["0","1"] <- ProbUP(a,j,dt)
    prb["0","0"] <- ProbMID(a,j,dt)
    prb["0","-1"] <- ProbDWN(a,j,dt)
  }
  else {
    if (j==jmax) {
      prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
      prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
      prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
      prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
      prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
      prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
    }
    else {
      prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
      prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
      prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
      prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
      prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
      prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
    } # Close 2nd IF
  } # Close 1st IF
}

Many thanks in advance.
Kind regards,

Eric Pueyo
Investment Risk Analyst
Email:  [hidden email]<mailto:[hidden email]>
D: +44 (0)20 7809 8070
No. 1 Undershaft, London EC3P 3DQ
Web: www.avivainvestors.com<https://urldefense.proofpoint.com/v2/url?u=http-3A__www.avivainvestors.com_&d=CwMFAg&c=zUO0BtkCe66yJvAZ4cAvZg&r=-34SVFvqwmZvbxD0ShuYglbuijP84lygitjFgiP1fxI&m=kRg3I7ESFxV-KaNbYHN6DPupgyEmFCiThNO6oDnpAFs&s=tQa1EuXKNfzRgiR2HgG0H_tW_X-BCpgebe5AL9A_GC8&e=>

jmax<-2
prb <-matrix(0L,nrow=5, ncol=3)
rownames(prb) <- c(seq(-2,2, by = 1))
colnames(prb) <- c(-1,0,1)
a<- 0.1
dt<-1

ExpX <-function(x,a,dt) {                              ######Defines the Expectation of X on t+1 | t
ExpX <- x*exp(-a*dt)
ExpX
}
Mfactor<-function(a,dt)  {                           #######Factor multiplicative
  Mfactor<- exp(-a*dt)-1
  Mfactor
}
VarX <-function(sigma,a,dt) {                         #######Defubes the Variance of X on t+1 | t
  VarX <- (sigma^2/(2*a))*(1-exp(-2*a*dt))
  VarX
}
DeltaX <-function(sigma,a,dt) {                       ######Defines the change of X
  DeltaX<- sqrt(3*VarX(sigma,a,dt))
  DeltaX<-value(DeltaX)
}

Mfactor<-function(a,dt)  {                           #######Factor multiplicative
  Mfactor<- exp(-a*dt)-1
  Mfactor
}

KNode<-function(sigma,x,a,j,dt) {                    ######Central Node
  KNode<- round(ExpX(x,a,dt)/DeltaX(sigma,a,dt))
  KNode
}

####### Probability Calculations taking into account different branches
HWMProb <- function (a,j,dt) {
  ######################### DESCRIPTION #####################################
  ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a, dt)) / 2)                     ######### Probability X going up
  ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)                             ######## Probability X going middle
  ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 - j * Mfactor(a, dt)) / 2)                  #######  Probability X going down
  TOPProbUP<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + 3 * j * Mfactor(a, dt)) / 2                 ####### Top branch probability going up
  TOPProbMID<- function(a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 - 2 * j * Mfactor(a, dt)              ####### Top branch probability going MID
  TOPProbDWN<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a, dt)) / 2               ####### Top branch probability going DOWN
  BTTMProbUP<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - j * Mfactor(a, dt)) / 2           ####### Bottom branch probability going u
  BTTMProbMID<- function( a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 + 2 * j * Mfactor(a, dt)               ####### Bottom branch probability going MID
  BTTMProbDWN<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - 3 * j * Mfactor(a, dt)) / 2              ####### Bottom branch probability going DOWN

  if (j==0) {
    prb["0","1"] <- ProbUP(a,j,dt)
    prb["0","0"] <- ProbMID(a,j,dt)
    prb["0","-1"] <- ProbDWN(a,j,dt)
  }
  else {
    if (j==jmax) {
      prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
      prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
      prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
      prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
      prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
      prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
    }
    else {
      prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
      prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
      prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
      prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
     prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
      prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
    } # Close 2nd IF
  } # Close 1st IF
} #Close Formula

for (j in 0:2) {
  HWMProb(a,j,dt)

}


        [[alternative HTML version deleted]]

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Reply | Threaded
Open this post in threaded view
|

Re: repeat a function

PIKAL Petr
Hi Eric

I did not see any answer and frankly speaking I cannot provide you with canned help.

AFAIK if a function is defined within another function (which is your case) it cannot be called directly so it is necessary to define it in global environment.

>  fff <- function(x) {
+  myf <- function(a) a+2
+  myf(x)^2}
>
> fff(5)
[1] 49
> myf(5)
Error in myf(5) : could not find function "myf"
>

Your function set is quite complicated but I wonder why would it be necessary to use for cycle for what seems to be simple table. Everything seems quite deterministic.

Basically you have combination of rows (-2,-1,0,1,2) and columns -1,-,1.
expand.grid(u=-2:2, v=-1:1)
for each row you can than use one function with parameters u, v and a and dt.
After you calculate vector of results, you can easily transform it to matrix by setting dim argument to it.

Cheers
Petr

> -----Original Message-----
> From: R-help [mailto:[hidden email]] On Behalf Of
> [hidden email]
> Sent: Wednesday, November 1, 2017 1:31 PM
> To: [hidden email]
> Subject: [R] repeat a function
>
> I want to populate the matrix prb through the function HWMProb <- function
> (a,j,dt) that encapsulates different functions (please see code below), using j=
> 0:2 for each j.
>
> It only populates prb if I specify each function independently in the global
> environment and then run the loop with the iF statement, as per below.
> for (j in 0:2) {
>   if (j==0) {
>     prb["0","1"] <- ProbUP(a,j,dt)
>     prb["0","0"] <- ProbMID(a,j,dt)
>     prb["0","-1"] <- ProbDWN(a,j,dt)
>   }
>   else {
>     if (j==jmax) {
>       prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
>       prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
>     }
>     else {
>       prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
>       prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
>     } # Close 2nd IF
>   } # Close 1st IF
> }
>
> Many thanks in advance.
> Kind regards,
>
> Eric Pueyo
> Investment Risk Analyst
> Email:
> [hidden email]<mailto:[hidden email]>
> D: +44 (0)20 7809 8070
> No. 1 Undershaft, London EC3P 3DQ
> Web:
> www.avivainvestors.com<https://urldefense.proofpoint.com/v2/url?u=http-
> 3A__www.avivainvestors.com_&d=CwMFAg&c=zUO0BtkCe66yJvAZ4cAvZg&r=-
> 34SVFvqwmZvbxD0ShuYglbuijP84lygitjFgiP1fxI&m=kRg3I7ESFxV-
> KaNbYHN6DPupgyEmFCiThNO6oDnpAFs&s=tQa1EuXKNfzRgiR2HgG0H_tW_X-
> BCpgebe5AL9A_GC8&e=>
>
> jmax<-2
> prb <-matrix(0L,nrow=5, ncol=3)
> rownames(prb) <- c(seq(-2,2, by = 1))
> colnames(prb) <- c(-1,0,1)
> a<- 0.1
> dt<-1
>
> ExpX <-function(x,a,dt) {                              ######Defines the Expectation of X
> on t+1 | t
> ExpX <- x*exp(-a*dt)
> ExpX
> }
> Mfactor<-function(a,dt)  {                           #######Factor multiplicative
>   Mfactor<- exp(-a*dt)-1
>   Mfactor
> }
> VarX <-function(sigma,a,dt) {                         #######Defubes the Variance of X
> on t+1 | t
>   VarX <- (sigma^2/(2*a))*(1-exp(-2*a*dt))
>   VarX
> }
> DeltaX <-function(sigma,a,dt) {                       ######Defines the change of X
>   DeltaX<- sqrt(3*VarX(sigma,a,dt))
>   DeltaX<-value(DeltaX)
> }
>
> Mfactor<-function(a,dt)  {                           #######Factor multiplicative
>   Mfactor<- exp(-a*dt)-1
>   Mfactor
> }
>
> KNode<-function(sigma,x,a,j,dt) {                    ######Central Node
>   KNode<- round(ExpX(x,a,dt)/DeltaX(sigma,a,dt))
>   KNode
> }
>
> ####### Probability Calculations taking into account different branches
> HWMProb <- function (a,j,dt) {
>   ######################### DESCRIPTION
> #####################################
>   ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a,
> dt)) / 2)                     ######### Probability X going up
>   ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> ######## Probability X going middle
>   ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 - j * Mfactor(a,
> dt)) / 2)                  #######  Probability X going down
>   TOPProbUP<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + 3 * j *
> Mfactor(a, dt)) / 2                 ####### Top branch probability going up
>   TOPProbMID<- function(a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 - 2 * j *
> Mfactor(a, dt)              ####### Top branch probability going MID
>   TOPProbDWN<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + j *
> Mfactor(a, dt)) / 2               ####### Top branch probability going DOWN
>   BTTMProbUP<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - j *
> Mfactor(a, dt)) / 2           ####### Bottom branch probability going u
>   BTTMProbMID<- function( a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 + 2 * j *
> Mfactor(a, dt)               ####### Bottom branch probability going MID
>   BTTMProbDWN<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - 3 * j *
> Mfactor(a, dt)) / 2              ####### Bottom branch probability going DOWN
>
>   if (j==0) {
>     prb["0","1"] <- ProbUP(a,j,dt)
>     prb["0","0"] <- ProbMID(a,j,dt)
>     prb["0","-1"] <- ProbDWN(a,j,dt)
>   }
>   else {
>     if (j==jmax) {
>       prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
>       prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
>     }
>     else {
>       prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
>      prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
>     } # Close 2nd IF
>   } # Close 1st IF
> } #Close Formula
>
> for (j in 0:2) {
>   HWMProb(a,j,dt)
>
> }
>
>
>       [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email] mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

________________________________
Tento e-mail a jakékoliv k němu připojené dokumenty jsou důvěrné a jsou určeny pouze jeho adresátům.
Jestliže jste obdržel(a) tento e-mail omylem, informujte laskavě neprodleně jeho odesílatele. Obsah tohoto emailu i s přílohami a jeho kopie vymažte ze svého systému.
Nejste-li zamýšleným adresátem tohoto emailu, nejste oprávněni tento email jakkoliv užívat, rozšiřovat, kopírovat či zveřejňovat.
Odesílatel e-mailu neodpovídá za eventuální škodu způsobenou modifikacemi či zpožděním přenosu e-mailu.

V případě, že je tento e-mail součástí obchodního jednání:
- vyhrazuje si odesílatel právo ukončit kdykoliv jednání o uzavření smlouvy, a to z jakéhokoliv důvodu i bez uvedení důvodu.
- a obsahuje-li nabídku, je adresát oprávněn nabídku bezodkladně přijmout; Odesílatel tohoto e-mailu (nabídky) vylučuje přijetí nabídky ze strany příjemce s dodatkem či odchylkou.
- trvá odesílatel na tom, že příslušná smlouva je uzavřena teprve výslovným dosažením shody na všech jejích náležitostech.
- odesílatel tohoto emailu informuje, že není oprávněn uzavírat za společnost žádné smlouvy s výjimkou případů, kdy k tomu byl písemně zmocněn nebo písemně pověřen a takové pověření nebo plná moc byly adresátovi tohoto emailu případně osobě, kterou adresát zastupuje, předloženy nebo jejich existence je adresátovi či osobě jím zastoupené známá.

This e-mail and any documents attached to it may be confidential and are intended only for its intended recipients.
If you received this e-mail by mistake, please immediately inform its sender. Delete the contents of this e-mail with all attachments and its copies from your system.
If you are not the intended recipient of this e-mail, you are not authorized to use, disseminate, copy or disclose this e-mail in any manner.
The sender of this e-mail shall not be liable for any possible damage caused by modifications of the e-mail or by delay with transfer of the email.

In case that this e-mail forms part of business dealings:
- the sender reserves the right to end negotiations about entering into a contract in any time, for any reason, and without stating any reasoning.
- if the e-mail contains an offer, the recipient is entitled to immediately accept such offer; The sender of this e-mail (offer) excludes any acceptance of the offer on the part of the recipient containing any amendment or variation.
- the sender insists on that the respective contract is concluded only upon an express mutual agreement on all its aspects.
- the sender of this e-mail informs that he/she is not authorized to enter into any contracts on behalf of the company except for cases in which he/she is expressly authorized to do so in writing, and such authorization or power of attorney is submitted to the recipient or the person represented by the recipient, or the existence of such authorization is known to the recipient of the person represented by the recipient.
______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Reply | Threaded
Open this post in threaded view
|

Re: repeat a function

Eric.Pueyo
Hi Petr,

Many thanks for your response.

Basically I want to create a probability matrix to be used in a trinomial tree going forward. This is the reason why I thought to build the matrix around 0 would be much more efficient. I need to loop through because the probabilities will depend on my node and is not always the same per row (e.g. if N> jmax, jmax being defined in another function)
I found a workaround. Please see below.
Thereafter I want to optimize this function. Hopefully it works.

Many thanks,
Eric

HWMProb <- function(N) {
  ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a, dt)) / 2)          ######### Probability X going up
  ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)                                     ######## Probability X going middle
  ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 - j * Mfactor(a, dt)) / 2)          #######  Probability X going down
  TOPProbUP<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + 3 * j * Mfactor(a, dt)) / 2     ####### Top branch probability going up
  TOPProbMID<- function(a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 - 2 * j * Mfactor(a, dt)          ####### Top branch probability going MID
  TOPProbDWN<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a, dt)) / 2        ####### Top branch probability going DOWN
  BTTMProbUP<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - j * Mfactor(a, dt)) / 2        ####### Bottom branch probability going u
  BTTMProbMID<- function( a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 + 2 * j * Mfactor(a, dt)        ####### Bottom branch probability going MID
  BTTMProbDWN<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - 3 * j * Mfactor(a, dt)) / 2   ####### Bottom branch probability going DOWN

if (N>jmax) N=jmax

for (j in 0:N) {    
  if (j==0) {
    prb["0","1"] <<- ProbUP(a,j,dt)
    prb["0","0"] <<- ProbMID(a,j,dt)
    prb["0","-1"] <<- ProbDWN(a,j,dt)
  }
  else {
    if (j==jmax) {
      prb[paste(j,sep = ""),"1"] <<- TOPProbUP(a,j,dt)
      prb[paste(j,sep = ""),"0"] <<- TOPProbMID(a,j,dt)
      prb[paste(j,sep = ""),"-1"] <<- TOPProbDWN(a,j,dt)
      prb[paste(-j,sep = ""),"1"] <<- BTTMProbUP(a,-j,dt)
      prb[paste(-j,sep = ""),"0"] <<- BTTMProbMID(a,-j,dt)
      prb[paste(-j,sep = ""),"-1"] <<- BTTMProbDWN(a,-j,dt)
    }
    else {
      prb[paste(j,sep = ""),"1"] <<- ProbUP(a,j,dt)
      prb[paste(j,sep = ""),"0"] <<- ProbMID(a,j,dt)
      prb[paste(j,sep = ""),"-1"] <<- ProbDWN(a,j,dt)
      prb[paste(-j,sep = ""),"1"] <<- ProbUP(a,-j,dt)
      prb[paste(-j,sep = ""),"0"] <<- ProbMID(a,-j,dt)
      prb[paste(-j,sep = ""),"-1"] <<- ProbDWN(a,-j,dt)
    } # Close 2nd IF
  } # Close 1st IF
} #end for
}


-----Original Message-----
From: PIKAL Petr [mailto:[hidden email]]
Sent: 02 November 2017 15:56
To: Eric Pueyo; [hidden email]
Subject: RE: [R] repeat a function

Hi Eric

I did not see any answer and frankly speaking I cannot provide you with canned help.

AFAIK if a function is defined within another function (which is your case) it cannot be called directly so it is necessary to define it in global environment.

>  fff <- function(x) {
+  myf <- function(a) a+2
+  myf(x)^2}
>
> fff(5)
[1] 49
> myf(5)
Error in myf(5) : could not find function "myf"
>

Your function set is quite complicated but I wonder why would it be necessary to use for cycle for what seems to be simple table. Everything seems quite deterministic.

Basically you have combination of rows (-2,-1,0,1,2) and columns -1,-,1.
expand.grid(u=-2:2, v=-1:1)
for each row you can than use one function with parameters u, v and a and dt.
After you calculate vector of results, you can easily transform it to matrix by setting dim argument to it.

Cheers
Petr

> -----Original Message-----
> From: R-help [mailto:[hidden email]] On Behalf Of
> [hidden email]
> Sent: Wednesday, November 1, 2017 1:31 PM
> To: [hidden email]
> Subject: [R] repeat a function
>
> I want to populate the matrix prb through the function HWMProb <-
> function
> (a,j,dt) that encapsulates different functions (please see code
> below), using j=
> 0:2 for each j.
>
> It only populates prb if I specify each function independently in the
> global environment and then run the loop with the iF statement, as per below.
> for (j in 0:2) {
>   if (j==0) {
>     prb["0","1"] <- ProbUP(a,j,dt)
>     prb["0","0"] <- ProbMID(a,j,dt)
>     prb["0","-1"] <- ProbDWN(a,j,dt)
>   }
>   else {
>     if (j==jmax) {
>       prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
>       prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
>     }
>     else {
>       prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
>       prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
>     } # Close 2nd IF
>   } # Close 1st IF
> }
>
> Many thanks in advance.
> Kind regards,
>
> Eric Pueyo
> Investment Risk Analyst
> Email:
> [hidden email]<mailto:[hidden email]>
> D: +44 (0)20 7809 8070
> No. 1 Undershaft, London EC3P 3DQ
> Web:
> www.avivainvestors.com<https://urldefense.proofpoint.com/v2/url?u=http
> -
> 3A__www.avivainvestors.com_&d=CwMFAg&c=zUO0BtkCe66yJvAZ4cAvZg&r=-
> 34SVFvqwmZvbxD0ShuYglbuijP84lygitjFgiP1fxI&m=kRg3I7ESFxV-
> KaNbYHN6DPupgyEmFCiThNO6oDnpAFs&s=tQa1EuXKNfzRgiR2HgG0H_tW_X-
> BCpgebe5AL9A_GC8&e=>
>
> jmax<-2
> prb <-matrix(0L,nrow=5, ncol=3)
> rownames(prb) <- c(seq(-2,2, by = 1))
> colnames(prb) <- c(-1,0,1)
> a<- 0.1
> dt<-1
>
> ExpX <-function(x,a,dt) {                              ######Defines the Expectation of X
> on t+1 | t
> ExpX <- x*exp(-a*dt)
> ExpX
> }
> Mfactor<-function(a,dt)  {                           #######Factor multiplicative
>   Mfactor<- exp(-a*dt)-1
>   Mfactor
> }
> VarX <-function(sigma,a,dt) {                         #######Defubes the Variance of X
> on t+1 | t
>   VarX <- (sigma^2/(2*a))*(1-exp(-2*a*dt))
>   VarX
> }
> DeltaX <-function(sigma,a,dt) {                       ######Defines the change of X
>   DeltaX<- sqrt(3*VarX(sigma,a,dt))
>   DeltaX<-value(DeltaX)
> }
>
> Mfactor<-function(a,dt)  {                           #######Factor multiplicative
>   Mfactor<- exp(-a*dt)-1
>   Mfactor
> }
>
> KNode<-function(sigma,x,a,j,dt) {                    ######Central Node
>   KNode<- round(ExpX(x,a,dt)/DeltaX(sigma,a,dt))
>   KNode
> }
>
> ####### Probability Calculations taking into account different
> branches HWMProb <- function (a,j,dt) {
>   ######################### DESCRIPTION
> #####################################
>   ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a,
> dt)) / 2)                     ######### Probability X going up
>   ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> ######## Probability X going middle
>   ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 - j * Mfactor(a,
> dt)) / 2)                  #######  Probability X going down
>   TOPProbUP<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + 3 * j *
> Mfactor(a, dt)) / 2                 ####### Top branch probability going up
>   TOPProbMID<- function(a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 - 2 * j *
> Mfactor(a, dt)              ####### Top branch probability going MID
>   TOPProbDWN<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + j *
> Mfactor(a, dt)) / 2               ####### Top branch probability going DOWN
>   BTTMProbUP<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - j *
> Mfactor(a, dt)) / 2           ####### Bottom branch probability going u
>   BTTMProbMID<- function( a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 + 2 * j *
> Mfactor(a, dt)               ####### Bottom branch probability going MID
>   BTTMProbDWN<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - 3 * j *
> Mfactor(a, dt)) / 2              ####### Bottom branch probability going DOWN
>
>   if (j==0) {
>     prb["0","1"] <- ProbUP(a,j,dt)
>     prb["0","0"] <- ProbMID(a,j,dt)
>     prb["0","-1"] <- ProbDWN(a,j,dt)
>   }
>   else {
>     if (j==jmax) {
>       prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
>       prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
>     }
>     else {
>       prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
>      prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
>     } # Close 2nd IF
>   } # Close 1st IF
> } #Close Formula
>
> for (j in 0:2) {
>   HWMProb(a,j,dt)
>
> }
>
>
>       [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email] mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

________________________________
Tento e-mail a jakékoliv k němu připojené dokumenty jsou důvěrné a jsou určeny pouze jeho adresátům.
Jestliže jste obdržel(a) tento e-mail omylem, informujte laskavě neprodleně jeho odesílatele. Obsah tohoto emailu i s přílohami a jeho kopie vymažte ze svého systému.
Nejste-li zamýšleným adresátem tohoto emailu, nejste oprávněni tento email jakkoliv užívat, rozšiřovat, kopírovat či zveřejňovat.
Odesílatel e-mailu neodpovídá za eventuální škodu způsobenou modifikacemi či zpožděním přenosu e-mailu.

V případě, že je tento e-mail součástí obchodního jednání:
- vyhrazuje si odesílatel právo ukončit kdykoliv jednání o uzavření smlouvy, a to z jakéhokoliv důvodu i bez uvedení důvodu.
- a obsahuje-li nabídku, je adresát oprávněn nabídku bezodkladně přijmout; Odesílatel tohoto e-mailu (nabídky) vylučuje přijetí nabídky ze strany příjemce s dodatkem či odchylkou.
- trvá odesílatel na tom, že příslušná smlouva je uzavřena teprve výslovným dosažením shody na všech jejích náležitostech.
- odesílatel tohoto emailu informuje, že není oprávněn uzavírat za společnost žádné smlouvy s výjimkou případů, kdy k tomu byl písemně zmocněn nebo písemně pověřen a takové pověření nebo plná moc byly adresátovi tohoto emailu případně osobě, kterou adresát zastupuje, předloženy nebo jejich existence je adresátovi či osobě jím zastoupené známá.

This e-mail and any documents attached to it may be confidential and are intended only for its intended recipients.
If you received this e-mail by mistake, please immediately inform its sender. Delete the contents of this e-mail with all attachments and its copies from your system.
If you are not the intended recipient of this e-mail, you are not authorized to use, disseminate, copy or disclose this e-mail in any manner.
The sender of this e-mail shall not be liable for any possible damage caused by modifications of the e-mail or by delay with transfer of the email.

In case that this e-mail forms part of business dealings:
- the sender reserves the right to end negotiations about entering into a contract in any time, for any reason, and without stating any reasoning.
- if the e-mail contains an offer, the recipient is entitled to immediately accept such offer; The sender of this e-mail (offer) excludes any acceptance of the offer on the part of the recipient containing any amendment or variation.
- the sender insists on that the respective contract is concluded only upon an express mutual agreement on all its aspects.
- the sender of this e-mail informs that he/she is not authorized to enter into any contracts on behalf of the company except for cases in which he/she is expressly authorized to do so in writing, and such authorization or power of attorney is submitted to the recipient or the person represented by the recipient, or the existence of such authorization is known to the recipient of the person represented by the recipient.

This email transmission and any attachments may contain confidential or legally privileged information that is intended for the addressee(s) only. Any views or opinions presented are solely those of the author and do not necessarily represent those of Aviva Investors. If you are not the intended recipient or person responsible for delivering this information to the intended recipient you are hereby notified that any disclosure, copying, distribution or reliance upon the contents of this email is strictly prohibited. If you have received this email transmission in error please notify the sender immediately so that we may arrange for its proper delivery and delete the message from your inbox.

Aviva Investors Global Services Limited, registered in England No. 1151805. Entered on the Financial Services Register, No: 119178. Authorised and regulated by the Financial Conduct Authority.

Aviva Investors Pensions Limited, registered in England No. 1059606. Entered on the Financial Services Register, No: 110410. Authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority.

Aviva Investors UK Fund Services Limited, registered in England No. 1973412. Entered on the Financial Services Register, No. 119310. Authorised and regulated by the Financial Conduct Authority.

Aviva Investors UK Funds Limited, registered in England No. 2503054. Entered on the Financial Services Register, No. 147088. Authorised and regulated by the Financial Conduct Authority.

Registered Office for all companies: St Helen’s, 1 Undershaft, London EC3P 3DQ. VAT number: 105 4373 00.

Telephone calls to Aviva Investors may be recorded for training or monitoring purposes. We may monitor traffic data of both business and personal emails. By replying to this email, you consent to us monitoring the content of any emails you send to or receive from Aviva Investors.
______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Reply | Threaded
Open this post in threaded view
|

Re: repeat a function

Bert Gunter-2
In reply to this post by PIKAL Petr
Petr et al. :

I only wish to comment on Petr's remark; I have nothing useful to say about
the subject of this thread.

"AFAIK if a function is defined within another function (which is your
case) it cannot be called directly so it is necessary to define it in
global environment."

Right, a deliberate consequence of R's (lexical) scoping semantics.
However, as you are probably aware, a function can *return* a function that
is then visible and can be called in the caller's scope. e.g. , using your
example:

> fff <- function(a){
    function(x) x^2 + a
 }

> fff(2)(3) ## note syntax: 3^2 + 2
[1] 11

> fff(3)(2) ## 2^2 + 3
[1] 7

## or you can assign the function to a symbol and call it directly

> myf <- fff(2)

> myf(3) ## 3^2 + 2
[1] 11


You all can decide whether or not this is useful in the current context.

Cheers,
Bert



Bert Gunter

"The trouble with having an open mind is that people keep coming along and
sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )

On Thu, Nov 2, 2017 at 8:56 AM, PIKAL Petr <[hidden email]> wrote:

> Hi Eric
>
> I did not see any answer and frankly speaking I cannot provide you with
> canned help.
>
> AFAIK if a function is defined within another function (which is your
> case) it cannot be called directly so it is necessary to define it in
> global environment.
>
> >  fff <- function(x) {
> +  myf <- function(a) a+2
> +  myf(x)^2}
> >
> > fff(5)
> [1] 49
> > myf(5)
> Error in myf(5) : could not find function "myf"
> >
>
> Your function set is quite complicated but I wonder why would it be
> necessary to use for cycle for what seems to be simple table. Everything
> seems quite deterministic.
>
> Basically you have combination of rows (-2,-1,0,1,2) and columns -1,-,1.
> expand.grid(u=-2:2, v=-1:1)
> for each row you can than use one function with parameters u, v and a and
> dt.
> After you calculate vector of results, you can easily transform it to
> matrix by setting dim argument to it.
>
> Cheers
> Petr
>
> > -----Original Message-----
> > From: R-help [mailto:[hidden email]] On Behalf Of
> > [hidden email]
> > Sent: Wednesday, November 1, 2017 1:31 PM
> > To: [hidden email]
> > Subject: [R] repeat a function
> >
> > I want to populate the matrix prb through the function HWMProb <-
> function
> > (a,j,dt) that encapsulates different functions (please see code below),
> using j=
> > 0:2 for each j.
> >
> > It only populates prb if I specify each function independently in the
> global
> > environment and then run the loop with the iF statement, as per below.
> > for (j in 0:2) {
> >   if (j==0) {
> >     prb["0","1"] <- ProbUP(a,j,dt)
> >     prb["0","0"] <- ProbMID(a,j,dt)
> >     prb["0","-1"] <- ProbDWN(a,j,dt)
> >   }
> >   else {
> >     if (j==jmax) {
> >       prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
> >       prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
> >     }
> >     else {
> >       prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
> >       prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
> >     } # Close 2nd IF
> >   } # Close 1st IF
> > }
> >
> > Many thanks in advance.
> > Kind regards,
> >
> > Eric Pueyo
> > Investment Risk Analyst
> > Email:
> > [hidden email]<mailto:[hidden email]>
> > D: +44 (0)20 7809 8070
> > No. 1 Undershaft, London EC3P 3DQ
> > Web:
> > www.avivainvestors.com<https://urldefense.proofpoint.com/v2/url?u=http-
> > 3A__www.avivainvestors.com_&d=CwMFAg&c=zUO0BtkCe66yJvAZ4cAvZg&r=-
> > 34SVFvqwmZvbxD0ShuYglbuijP84lygitjFgiP1fxI&m=kRg3I7ESFxV-
> > KaNbYHN6DPupgyEmFCiThNO6oDnpAFs&s=tQa1EuXKNfzRgiR2HgG0H_tW_X-
> > BCpgebe5AL9A_GC8&e=>
> >
> > jmax<-2
> > prb <-matrix(0L,nrow=5, ncol=3)
> > rownames(prb) <- c(seq(-2,2, by = 1))
> > colnames(prb) <- c(-1,0,1)
> > a<- 0.1
> > dt<-1
> >
> > ExpX <-function(x,a,dt) {                              ######Defines the
> Expectation of X
> > on t+1 | t
> > ExpX <- x*exp(-a*dt)
> > ExpX
> > }
> > Mfactor<-function(a,dt)  {                           #######Factor
> multiplicative
> >   Mfactor<- exp(-a*dt)-1
> >   Mfactor
> > }
> > VarX <-function(sigma,a,dt) {                         #######Defubes the
> Variance of X
> > on t+1 | t
> >   VarX <- (sigma^2/(2*a))*(1-exp(-2*a*dt))
> >   VarX
> > }
> > DeltaX <-function(sigma,a,dt) {                       ######Defines the
> change of X
> >   DeltaX<- sqrt(3*VarX(sigma,a,dt))
> >   DeltaX<-value(DeltaX)
> > }
> >
> > Mfactor<-function(a,dt)  {                           #######Factor
> multiplicative
> >   Mfactor<- exp(-a*dt)-1
> >   Mfactor
> > }
> >
> > KNode<-function(sigma,x,a,j,dt) {                    ######Central Node
> >   KNode<- round(ExpX(x,a,dt)/DeltaX(sigma,a,dt))
> >   KNode
> > }
> >
> > ####### Probability Calculations taking into account different branches
> > HWMProb <- function (a,j,dt) {
> >   ######################### DESCRIPTION
> > #####################################
> >   ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j
> * Mfactor(a,
> > dt)) / 2)                     ######### Probability X going up
> >   ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> > ######## Probability X going middle
> >   ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 - j
> * Mfactor(a,
> > dt)) / 2)                  #######  Probability X going down
> >   TOPProbUP<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 +
> 3 * j *
> > Mfactor(a, dt)) / 2                 ####### Top branch probability going
> up
> >   TOPProbMID<- function(a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 -
> 2 * j *
> > Mfactor(a, dt)              ####### Top branch probability going MID
> >   TOPProbDWN<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 +
> j *
> > Mfactor(a, dt)) / 2               ####### Top branch probability going
> DOWN
> >   BTTMProbUP<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 -
> j *
> > Mfactor(a, dt)) / 2           ####### Bottom branch probability going u
> >   BTTMProbMID<- function( a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2
> + 2 * j *
> > Mfactor(a, dt)               ####### Bottom branch probability going MID
> >   BTTMProbDWN<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2
> - 3 * j *
> > Mfactor(a, dt)) / 2              ####### Bottom branch probability going
> DOWN
> >
> >   if (j==0) {
> >     prb["0","1"] <- ProbUP(a,j,dt)
> >     prb["0","0"] <- ProbMID(a,j,dt)
> >     prb["0","-1"] <- ProbDWN(a,j,dt)
> >   }
> >   else {
> >     if (j==jmax) {
> >       prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
> >       prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
> >     }
> >     else {
> >       prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
> >      prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
> >     } # Close 2nd IF
> >   } # Close 1st IF
> > } #Close Formula
> >
> > for (j in 0:2) {
> >   HWMProb(a,j,dt)
> >
> > }
> >
> >
> >       [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > [hidden email] mailing list -- To UNSUBSCRIBE and more, see
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide http://www.R-project.org/
> posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
>
> ________________________________
> Tento e-mail a jakékoliv k němu připojené dokumenty jsou důvěrné a jsou
> určeny pouze jeho adresátům.
> Jestliže jste obdržel(a) tento e-mail omylem, informujte laskavě
> neprodleně jeho odesílatele. Obsah tohoto emailu i s přílohami a jeho kopie
> vymažte ze svého systému.
> Nejste-li zamýšleným adresátem tohoto emailu, nejste oprávněni tento email
> jakkoliv užívat, rozšiřovat, kopírovat či zveřejňovat.
> Odesílatel e-mailu neodpovídá za eventuální škodu způsobenou modifikacemi
> či zpožděním přenosu e-mailu.
>
> V případě, že je tento e-mail součástí obchodního jednání:
> - vyhrazuje si odesílatel právo ukončit kdykoliv jednání o uzavření
> smlouvy, a to z jakéhokoliv důvodu i bez uvedení důvodu.
> - a obsahuje-li nabídku, je adresát oprávněn nabídku bezodkladně přijmout;
> Odesílatel tohoto e-mailu (nabídky) vylučuje přijetí nabídky ze strany
> příjemce s dodatkem či odchylkou.
> - trvá odesílatel na tom, že příslušná smlouva je uzavřena teprve
> výslovným dosažením shody na všech jejích náležitostech.
> - odesílatel tohoto emailu informuje, že není oprávněn uzavírat za
> společnost žádné smlouvy s výjimkou případů, kdy k tomu byl písemně zmocněn
> nebo písemně pověřen a takové pověření nebo plná moc byly adresátovi tohoto
> emailu případně osobě, kterou adresát zastupuje, předloženy nebo jejich
> existence je adresátovi či osobě jím zastoupené známá.
>
> This e-mail and any documents attached to it may be confidential and are
> intended only for its intended recipients.
> If you received this e-mail by mistake, please immediately inform its
> sender. Delete the contents of this e-mail with all attachments and its
> copies from your system.
> If you are not the intended recipient of this e-mail, you are not
> authorized to use, disseminate, copy or disclose this e-mail in any manner.
> The sender of this e-mail shall not be liable for any possible damage
> caused by modifications of the e-mail or by delay with transfer of the
> email.
>
> In case that this e-mail forms part of business dealings:
> - the sender reserves the right to end negotiations about entering into a
> contract in any time, for any reason, and without stating any reasoning.
> - if the e-mail contains an offer, the recipient is entitled to
> immediately accept such offer; The sender of this e-mail (offer) excludes
> any acceptance of the offer on the part of the recipient containing any
> amendment or variation.
> - the sender insists on that the respective contract is concluded only
> upon an express mutual agreement on all its aspects.
> - the sender of this e-mail informs that he/she is not authorized to enter
> into any contracts on behalf of the company except for cases in which
> he/she is expressly authorized to do so in writing, and such authorization
> or power of attorney is submitted to the recipient or the person
> represented by the recipient, or the existence of such authorization is
> known to the recipient of the person represented by the recipient.
> ______________________________________________
> [hidden email] mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/
> posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

        [[alternative HTML version deleted]]

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Reply | Threaded
Open this post in threaded view
|

Re: repeat a function

PIKAL Petr
In reply to this post by Eric.Pueyo
Hi

Well, I am not an expert in this field so I cannot comment your approach. I wanted only to point out that building matrix your way is like scratching your left ear with right hand, especially in R. What if you want increase size of your matrix?

E.g. you use function ProbUP once for row "0" and than for rows different from jmax (if I correctly understand your code). Use of any function depends on two parameters (row and column, let them call u and v)

>   ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a,
> dt)) / 2)          ######### Probability X going up
>   ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> ######## Probability X going middle
>   ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 - j * Mfactor(a,
> dt)) / 2)

Functions are quite similar, you basically need to find how combination of row and column number results in desired j value. However it could be quite tricky and if your approach works and you do not want to extend it or to make it more general, you could stay with it.

Cheers
Petr


> -----Original Message-----
> From: [hidden email] [mailto:[hidden email]]
> Sent: Thursday, November 2, 2017 5:54 PM
> To: PIKAL Petr <[hidden email]>; [hidden email]
> Subject: RE: [R] repeat a function
>
> Hi Petr,
>
> Many thanks for your response.
>
> Basically I want to create a probability matrix to be used in a trinomial tree
> going forward. This is the reason why I thought to build the matrix around 0
> would be much more efficient. I need to loop through because the probabilities
> will depend on my node and is not always the same per row (e.g. if N> jmax,
> jmax being defined in another function) I found a workaround. Please see
> below.
> Thereafter I want to optimize this function. Hopefully it works.
>
> Many thanks,
> Eric
>
> HWMProb <- function(N) {
>   ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a,
> dt)) / 2)          ######### Probability X going up
>   ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> ######## Probability X going middle
>   ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 - j * Mfactor(a,
> dt)) / 2)          #######  Probability X going down
>   TOPProbUP<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + 3 * j *
> Mfactor(a, dt)) / 2     ####### Top branch probability going up
>   TOPProbMID<- function(a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 - 2 * j *
> Mfactor(a, dt)          ####### Top branch probability going MID
>   TOPProbDWN<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + j *
> Mfactor(a, dt)) / 2        ####### Top branch probability going DOWN
>   BTTMProbUP<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - j *
> Mfactor(a, dt)) / 2        ####### Bottom branch probability going u
>   BTTMProbMID<- function( a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 + 2 * j *
> Mfactor(a, dt)        ####### Bottom branch probability going MID
>   BTTMProbDWN<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - 3 * j *
> Mfactor(a, dt)) / 2   ####### Bottom branch probability going DOWN
>
> if (N>jmax) N=jmax
>
> for (j in 0:N) {
>   if (j==0) {
>     prb["0","1"] <<- ProbUP(a,j,dt)
>     prb["0","0"] <<- ProbMID(a,j,dt)
>     prb["0","-1"] <<- ProbDWN(a,j,dt)
>   }
>   else {
>     if (j==jmax) {
>       prb[paste(j,sep = ""),"1"] <<- TOPProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <<- TOPProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <<- TOPProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <<- BTTMProbUP(a,-j,dt)
>       prb[paste(-j,sep = ""),"0"] <<- BTTMProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <<- BTTMProbDWN(a,-j,dt)
>     }
>     else {
>       prb[paste(j,sep = ""),"1"] <<- ProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <<- ProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <<- ProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <<- ProbUP(a,-j,dt)
>       prb[paste(-j,sep = ""),"0"] <<- ProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <<- ProbDWN(a,-j,dt)
>     } # Close 2nd IF
>   } # Close 1st IF
> } #end for
> }
>
>
> -----Original Message-----
> From: PIKAL Petr [mailto:[hidden email]]
> Sent: 02 November 2017 15:56
> To: Eric Pueyo; [hidden email]
> Subject: RE: [R] repeat a function
>
> Hi Eric
>
> I did not see any answer and frankly speaking I cannot provide you with canned
> help.
>
> AFAIK if a function is defined within another function (which is your case) it
> cannot be called directly so it is necessary to define it in global environment.
>
> >  fff <- function(x) {
> +  myf <- function(a) a+2
> +  myf(x)^2}
> >
> > fff(5)
> [1] 49
> > myf(5)
> Error in myf(5) : could not find function "myf"
> >
>
> Your function set is quite complicated but I wonder why would it be necessary
> to use for cycle for what seems to be simple table. Everything seems quite
> deterministic.
>
> Basically you have combination of rows (-2,-1,0,1,2) and columns -1,-,1.
> expand.grid(u=-2:2, v=-1:1)
> for each row you can than use one function with parameters u, v and a and dt.
> After you calculate vector of results, you can easily transform it to matrix by
> setting dim argument to it.
>
> Cheers
> Petr
>
> > -----Original Message-----
> > From: R-help [mailto:[hidden email]] On Behalf Of
> > [hidden email]
> > Sent: Wednesday, November 1, 2017 1:31 PM
> > To: [hidden email]
> > Subject: [R] repeat a function
> >
> > I want to populate the matrix prb through the function HWMProb <-
> > function
> > (a,j,dt) that encapsulates different functions (please see code
> > below), using j=
> > 0:2 for each j.
> >
> > It only populates prb if I specify each function independently in the
> > global environment and then run the loop with the iF statement, as per
> below.
> > for (j in 0:2) {
> >   if (j==0) {
> >     prb["0","1"] <- ProbUP(a,j,dt)
> >     prb["0","0"] <- ProbMID(a,j,dt)
> >     prb["0","-1"] <- ProbDWN(a,j,dt)
> >   }
> >   else {
> >     if (j==jmax) {
> >       prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
> >       prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
> >     }
> >     else {
> >       prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
> >       prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
> >     } # Close 2nd IF
> >   } # Close 1st IF
> > }
> >
> > Many thanks in advance.
> > Kind regards,
> >
> > Eric Pueyo
> > Investment Risk Analyst
> > Email:
> > [hidden email]<mailto:[hidden email]>
> > D: +44 (0)20 7809 8070
> > No. 1 Undershaft, London EC3P 3DQ
> > Web:
> > www.avivainvestors.com<https://urldefense.proofpoint.com/v2/url?u=http
> > -
> >
> 3A__www.avivainvestors.com_&d=CwMFAg&c=zUO0BtkCe66yJvAZ4cAvZg&r=-
> > 34SVFvqwmZvbxD0ShuYglbuijP84lygitjFgiP1fxI&m=kRg3I7ESFxV-
> > KaNbYHN6DPupgyEmFCiThNO6oDnpAFs&s=tQa1EuXKNfzRgiR2HgG0H_tW_X-
> > BCpgebe5AL9A_GC8&e=>
> >
> > jmax<-2
> > prb <-matrix(0L,nrow=5, ncol=3)
> > rownames(prb) <- c(seq(-2,2, by = 1))
> > colnames(prb) <- c(-1,0,1)
> > a<- 0.1
> > dt<-1
> >
> > ExpX <-function(x,a,dt) {                              ######Defines the Expectation of X
> > on t+1 | t
> > ExpX <- x*exp(-a*dt)
> > ExpX
> > }
> > Mfactor<-function(a,dt)  {                           #######Factor multiplicative
> >   Mfactor<- exp(-a*dt)-1
> >   Mfactor
> > }
> > VarX <-function(sigma,a,dt) {                         #######Defubes the Variance of X
> > on t+1 | t
> >   VarX <- (sigma^2/(2*a))*(1-exp(-2*a*dt))
> >   VarX
> > }
> > DeltaX <-function(sigma,a,dt) {                       ######Defines the change of X
> >   DeltaX<- sqrt(3*VarX(sigma,a,dt))
> >   DeltaX<-value(DeltaX)
> > }
> >
> > Mfactor<-function(a,dt)  {                           #######Factor multiplicative
> >   Mfactor<- exp(-a*dt)-1
> >   Mfactor
> > }
> >
> > KNode<-function(sigma,x,a,j,dt) {                    ######Central Node
> >   KNode<- round(ExpX(x,a,dt)/DeltaX(sigma,a,dt))
> >   KNode
> > }
> >
> > ####### Probability Calculations taking into account different
> > branches HWMProb <- function (a,j,dt) {
> >   ######################### DESCRIPTION
> > #####################################
> >   ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a,
> > dt)) / 2)                     ######### Probability X going up
> >   ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> > ######## Probability X going middle
> >   ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 - j *
> Mfactor(a,
> > dt)) / 2)                  #######  Probability X going down
> >   TOPProbUP<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + 3 * j *
> > Mfactor(a, dt)) / 2                 ####### Top branch probability going up
> >   TOPProbMID<- function(a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 - 2 * j *
> > Mfactor(a, dt)              ####### Top branch probability going MID
> >   TOPProbDWN<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + j *
> > Mfactor(a, dt)) / 2               ####### Top branch probability going DOWN
> >   BTTMProbUP<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - j *
> > Mfactor(a, dt)) / 2           ####### Bottom branch probability going u
> >   BTTMProbMID<- function( a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 + 2 * j *
> > Mfactor(a, dt)               ####### Bottom branch probability going MID
> >   BTTMProbDWN<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - 3 * j *
> > Mfactor(a, dt)) / 2              ####### Bottom branch probability going DOWN
> >
> >   if (j==0) {
> >     prb["0","1"] <- ProbUP(a,j,dt)
> >     prb["0","0"] <- ProbMID(a,j,dt)
> >     prb["0","-1"] <- ProbDWN(a,j,dt)
> >   }
> >   else {
> >     if (j==jmax) {
> >       prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
> >       prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
> >     }
> >     else {
> >       prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
> >      prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
> >     } # Close 2nd IF
> >   } # Close 1st IF
> > } #Close Formula
> >
> > for (j in 0:2) {
> >   HWMProb(a,j,dt)
> >
> > }
> >
> >

________________________________
Tento e-mail a jakékoliv k němu připojené dokumenty jsou důvěrné a jsou určeny pouze jeho adresátům.
Jestliže jste obdržel(a) tento e-mail omylem, informujte laskavě neprodleně jeho odesílatele. Obsah tohoto emailu i s přílohami a jeho kopie vymažte ze svého systému.
Nejste-li zamýšleným adresátem tohoto emailu, nejste oprávněni tento email jakkoliv užívat, rozšiřovat, kopírovat či zveřejňovat.
Odesílatel e-mailu neodpovídá za eventuální škodu způsobenou modifikacemi či zpožděním přenosu e-mailu.

V případě, že je tento e-mail součástí obchodního jednání:
- vyhrazuje si odesílatel právo ukončit kdykoliv jednání o uzavření smlouvy, a to z jakéhokoliv důvodu i bez uvedení důvodu.
- a obsahuje-li nabídku, je adresát oprávněn nabídku bezodkladně přijmout; Odesílatel tohoto e-mailu (nabídky) vylučuje přijetí nabídky ze strany příjemce s dodatkem či odchylkou.
- trvá odesílatel na tom, že příslušná smlouva je uzavřena teprve výslovným dosažením shody na všech jejích náležitostech.
- odesílatel tohoto emailu informuje, že není oprávněn uzavírat za společnost žádné smlouvy s výjimkou případů, kdy k tomu byl písemně zmocněn nebo písemně pověřen a takové pověření nebo plná moc byly adresátovi tohoto emailu případně osobě, kterou adresát zastupuje, předloženy nebo jejich existence je adresátovi či osobě jím zastoupené známá.

This e-mail and any documents attached to it may be confidential and are intended only for its intended recipients.
If you received this e-mail by mistake, please immediately inform its sender. Delete the contents of this e-mail with all attachments and its copies from your system.
If you are not the intended recipient of this e-mail, you are not authorized to use, disseminate, copy or disclose this e-mail in any manner.
The sender of this e-mail shall not be liable for any possible damage caused by modifications of the e-mail or by delay with transfer of the email.

In case that this e-mail forms part of business dealings:
- the sender reserves the right to end negotiations about entering into a contract in any time, for any reason, and without stating any reasoning.
- if the e-mail contains an offer, the recipient is entitled to immediately accept such offer; The sender of this e-mail (offer) excludes any acceptance of the offer on the part of the recipient containing any amendment or variation.
- the sender insists on that the respective contract is concluded only upon an express mutual agreement on all its aspects.
- the sender of this e-mail informs that he/she is not authorized to enter into any contracts on behalf of the company except for cases in which he/she is expressly authorized to do so in writing, and such authorization or power of attorney is submitted to the recipient or the person represented by the recipient, or the existence of such authorization is known to the recipient of the person represented by the recipient.
______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Reply | Threaded
Open this post in threaded view
|

Re: repeat a function

Eric.Pueyo
Thanks Petr. Really appreciated!

Many thanks,
Eric

-----Original Message-----
From: PIKAL Petr [mailto:[hidden email]]
Sent: 03 November 2017 07:54
To: Eric Pueyo; [hidden email]
Subject: RE: [R] repeat a function

Hi

Well, I am not an expert in this field so I cannot comment your approach. I wanted only to point out that building matrix your way is like scratching your left ear with right hand, especially in R. What if you want increase size of your matrix?

E.g. you use function ProbUP once for row "0" and than for rows different from jmax (if I correctly understand your code). Use of any function depends on two parameters (row and column, let them call u and v)

>   ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a,
> dt)) / 2)          ######### Probability X going up
>   ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> ######## Probability X going middle
>   ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 -
> j * Mfactor(a,
> dt)) / 2)

Functions are quite similar, you basically need to find how combination of row and column number results in desired j value. However it could be quite tricky and if your approach works and you do not want to extend it or to make it more general, you could stay with it.

Cheers
Petr


> -----Original Message-----
> From: [hidden email]
> [mailto:[hidden email]]
> Sent: Thursday, November 2, 2017 5:54 PM
> To: PIKAL Petr <[hidden email]>; [hidden email]
> Subject: RE: [R] repeat a function
>
> Hi Petr,
>
> Many thanks for your response.
>
> Basically I want to create a probability matrix to be used in a
> trinomial tree going forward. This is the reason why I thought to
> build the matrix around 0 would be much more efficient. I need to loop
> through because the probabilities will depend on my node and is not
> always the same per row (e.g. if N> jmax, jmax being defined in
> another function) I found a workaround. Please see below.
> Thereafter I want to optimize this function. Hopefully it works.
>
> Many thanks,
> Eric
>
> HWMProb <- function(N) {
>   ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a,
> dt)) / 2)          ######### Probability X going up
>   ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> ######## Probability X going middle
>   ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 - j * Mfactor(a,
> dt)) / 2)          #######  Probability X going down
>   TOPProbUP<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + 3 * j *
> Mfactor(a, dt)) / 2     ####### Top branch probability going up
>   TOPProbMID<- function(a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 - 2 * j *
> Mfactor(a, dt)          ####### Top branch probability going MID
>   TOPProbDWN<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + j *
> Mfactor(a, dt)) / 2        ####### Top branch probability going DOWN
>   BTTMProbUP<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - j *
> Mfactor(a, dt)) / 2        ####### Bottom branch probability going u
>   BTTMProbMID<- function( a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 + 2 * j *
> Mfactor(a, dt)        ####### Bottom branch probability going MID
>   BTTMProbDWN<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - 3 * j *
> Mfactor(a, dt)) / 2   ####### Bottom branch probability going DOWN
>
> if (N>jmax) N=jmax
>
> for (j in 0:N) {
>   if (j==0) {
>     prb["0","1"] <<- ProbUP(a,j,dt)
>     prb["0","0"] <<- ProbMID(a,j,dt)
>     prb["0","-1"] <<- ProbDWN(a,j,dt)
>   }
>   else {
>     if (j==jmax) {
>       prb[paste(j,sep = ""),"1"] <<- TOPProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <<- TOPProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <<- TOPProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <<- BTTMProbUP(a,-j,dt)
>       prb[paste(-j,sep = ""),"0"] <<- BTTMProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <<- BTTMProbDWN(a,-j,dt)
>     }
>     else {
>       prb[paste(j,sep = ""),"1"] <<- ProbUP(a,j,dt)
>       prb[paste(j,sep = ""),"0"] <<- ProbMID(a,j,dt)
>       prb[paste(j,sep = ""),"-1"] <<- ProbDWN(a,j,dt)
>       prb[paste(-j,sep = ""),"1"] <<- ProbUP(a,-j,dt)
>       prb[paste(-j,sep = ""),"0"] <<- ProbMID(a,-j,dt)
>       prb[paste(-j,sep = ""),"-1"] <<- ProbDWN(a,-j,dt)
>     } # Close 2nd IF
>   } # Close 1st IF
> } #end for
> }
>
>
> -----Original Message-----
> From: PIKAL Petr [mailto:[hidden email]]
> Sent: 02 November 2017 15:56
> To: Eric Pueyo; [hidden email]
> Subject: RE: [R] repeat a function
>
> Hi Eric
>
> I did not see any answer and frankly speaking I cannot provide you
> with canned help.
>
> AFAIK if a function is defined within another function (which is your
> case) it cannot be called directly so it is necessary to define it in global environment.
>
> >  fff <- function(x) {
> +  myf <- function(a) a+2
> +  myf(x)^2}
> >
> > fff(5)
> [1] 49
> > myf(5)
> Error in myf(5) : could not find function "myf"
> >
>
> Your function set is quite complicated but I wonder why would it be
> necessary to use for cycle for what seems to be simple table.
> Everything seems quite deterministic.
>
> Basically you have combination of rows (-2,-1,0,1,2) and columns -1,-,1.
> expand.grid(u=-2:2, v=-1:1)
> for each row you can than use one function with parameters u, v and a and dt.
> After you calculate vector of results, you can easily transform it to
> matrix by setting dim argument to it.
>
> Cheers
> Petr
>
> > -----Original Message-----
> > From: R-help [mailto:[hidden email]] On Behalf Of
> > [hidden email]
> > Sent: Wednesday, November 1, 2017 1:31 PM
> > To: [hidden email]
> > Subject: [R] repeat a function
> >
> > I want to populate the matrix prb through the function HWMProb <-
> > function
> > (a,j,dt) that encapsulates different functions (please see code
> > below), using j=
> > 0:2 for each j.
> >
> > It only populates prb if I specify each function independently in
> > the global environment and then run the loop with the iF statement,
> > as per
> below.
> > for (j in 0:2) {
> >   if (j==0) {
> >     prb["0","1"] <- ProbUP(a,j,dt)
> >     prb["0","0"] <- ProbMID(a,j,dt)
> >     prb["0","-1"] <- ProbDWN(a,j,dt)
> >   }
> >   else {
> >     if (j==jmax) {
> >       prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
> >       prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
> >     }
> >     else {
> >       prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
> >       prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
> >     } # Close 2nd IF
> >   } # Close 1st IF
> > }
> >
> > Many thanks in advance.
> > Kind regards,
> >
> > Eric Pueyo
> > Investment Risk Analyst
> > Email:
> > [hidden email]<mailto:[hidden email]>
> > D: +44 (0)20 7809 8070
> > No. 1 Undershaft, London EC3P 3DQ
> > Web:
> > www.avivainvestors.com<https://urldefense.proofpoint.com/v2/url?u=ht
> > tp
> > -
> >
> 3A__www.avivainvestors.com_&d=CwMFAg&c=zUO0BtkCe66yJvAZ4cAvZg&r=-
> > 34SVFvqwmZvbxD0ShuYglbuijP84lygitjFgiP1fxI&m=kRg3I7ESFxV-
> > KaNbYHN6DPupgyEmFCiThNO6oDnpAFs&s=tQa1EuXKNfzRgiR2HgG0H_tW_X-
> > BCpgebe5AL9A_GC8&e=>
> >
> > jmax<-2
> > prb <-matrix(0L,nrow=5, ncol=3)
> > rownames(prb) <- c(seq(-2,2, by = 1))
> > colnames(prb) <- c(-1,0,1)
> > a<- 0.1
> > dt<-1
> >
> > ExpX <-function(x,a,dt) {                              ######Defines the Expectation of X
> > on t+1 | t
> > ExpX <- x*exp(-a*dt)
> > ExpX
> > }
> > Mfactor<-function(a,dt)  {                           #######Factor multiplicative
> >   Mfactor<- exp(-a*dt)-1
> >   Mfactor
> > }
> > VarX <-function(sigma,a,dt) {                         #######Defubes the Variance of X
> > on t+1 | t
> >   VarX <- (sigma^2/(2*a))*(1-exp(-2*a*dt))
> >   VarX
> > }
> > DeltaX <-function(sigma,a,dt) {                       ######Defines the change of X
> >   DeltaX<- sqrt(3*VarX(sigma,a,dt))
> >   DeltaX<-value(DeltaX)
> > }
> >
> > Mfactor<-function(a,dt)  {                           #######Factor multiplicative
> >   Mfactor<- exp(-a*dt)-1
> >   Mfactor
> > }
> >
> > KNode<-function(sigma,x,a,j,dt) {                    ######Central Node
> >   KNode<- round(ExpX(x,a,dt)/DeltaX(sigma,a,dt))
> >   KNode
> > }
> >
> > ####### Probability Calculations taking into account different
> > branches HWMProb <- function (a,j,dt) {
> >   ######################### DESCRIPTION
> > #####################################
> >   ProbUP<- function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2 + j * Mfactor(a,
> > dt)) / 2)                     ######### Probability X going up
> >   ProbMID<- function(a, j, dt) 2 / 3 - (j ^ 2 * Mfactor(a, dt) ^ 2)
> > ######## Probability X going middle
> >   ProbDWN<-function( a, j, dt) 1 / 6 + ((j ^ 2 * Mfactor(a, dt) ^ 2
> > - j *
> Mfactor(a,
> > dt)) / 2)                  #######  Probability X going down
> >   TOPProbUP<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + 3 * j *
> > Mfactor(a, dt)) / 2                 ####### Top branch probability going up
> >   TOPProbMID<- function(a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 - 2 * j *
> > Mfactor(a, dt)              ####### Top branch probability going MID
> >   TOPProbDWN<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 + j *
> > Mfactor(a, dt)) / 2               ####### Top branch probability going DOWN
> >   BTTMProbUP<- function( a, j, dt) 1 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - j *
> > Mfactor(a, dt)) / 2           ####### Bottom branch probability going u
> >   BTTMProbMID<- function( a, j, dt) -1 / 3 - j ^ 2 * Mfactor(a, dt) ^ 2 + 2 * j *
> > Mfactor(a, dt)               ####### Bottom branch probability going MID
> >   BTTMProbDWN<- function( a, j, dt) 7 / 6 + (j ^ 2 * Mfactor(a, dt) ^ 2 - 3 * j *
> > Mfactor(a, dt)) / 2              ####### Bottom branch probability going DOWN
> >
> >   if (j==0) {
> >     prb["0","1"] <- ProbUP(a,j,dt)
> >     prb["0","0"] <- ProbMID(a,j,dt)
> >     prb["0","-1"] <- ProbDWN(a,j,dt)
> >   }
> >   else {
> >     if (j==jmax) {
> >       prb[paste(j,sep = ""),"1"] <- TOPProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- TOPProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- TOPProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- BTTMProbUP(a,-j,dt)
> >       prb[paste(-j,sep = ""),"0"] <- BTTMProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- BTTMProbDWN(a,-j,dt)
> >     }
> >     else {
> >       prb[paste(j,sep = ""),"1"] <- ProbUP(a,j,dt)
> >       prb[paste(j,sep = ""),"0"] <- ProbMID(a,j,dt)
> >       prb[paste(j,sep = ""),"-1"] <- ProbDWN(a,j,dt)
> >       prb[paste(-j,sep = ""),"1"] <- ProbUP(a,-j,dt)
> >      prb[paste(-j,sep = ""),"0"] <- ProbMID(a,-j,dt)
> >       prb[paste(-j,sep = ""),"-1"] <- ProbDWN(a,-j,dt)
> >     } # Close 2nd IF
> >   } # Close 1st IF
> > } #Close Formula
> >
> > for (j in 0:2) {
> >   HWMProb(a,j,dt)
> >
> > }
> >
> >

________________________________
Tento e-mail a jakékoliv k němu připojené dokumenty jsou důvěrné a jsou určeny pouze jeho adresátům.
Jestliže jste obdržel(a) tento e-mail omylem, informujte laskavě neprodleně jeho odesílatele. Obsah tohoto emailu i s přílohami a jeho kopie vymažte ze svého systému.
Nejste-li zamýšleným adresátem tohoto emailu, nejste oprávněni tento email jakkoliv užívat, rozšiřovat, kopírovat či zveřejňovat.
Odesílatel e-mailu neodpovídá za eventuální škodu způsobenou modifikacemi či zpožděním přenosu e-mailu.

V případě, že je tento e-mail součástí obchodního jednání:
- vyhrazuje si odesílatel právo ukončit kdykoliv jednání o uzavření smlouvy, a to z jakéhokoliv důvodu i bez uvedení důvodu.
- a obsahuje-li nabídku, je adresát oprávněn nabídku bezodkladně přijmout; Odesílatel tohoto e-mailu (nabídky) vylučuje přijetí nabídky ze strany příjemce s dodatkem či odchylkou.
- trvá odesílatel na tom, že příslušná smlouva je uzavřena teprve výslovným dosažením shody na všech jejích náležitostech.
- odesílatel tohoto emailu informuje, že není oprávněn uzavírat za společnost žádné smlouvy s výjimkou případů, kdy k tomu byl písemně zmocněn nebo písemně pověřen a takové pověření nebo plná moc byly adresátovi tohoto emailu případně osobě, kterou adresát zastupuje, předloženy nebo jejich existence je adresátovi či osobě jím zastoupené známá.

This e-mail and any documents attached to it may be confidential and are intended only for its intended recipients.
If you received this e-mail by mistake, please immediately inform its sender. Delete the contents of this e-mail with all attachments and its copies from your system.
If you are not the intended recipient of this e-mail, you are not authorized to use, disseminate, copy or disclose this e-mail in any manner.
The sender of this e-mail shall not be liable for any possible damage caused by modifications of the e-mail or by delay with transfer of the email.

In case that this e-mail forms part of business dealings:
- the sender reserves the right to end negotiations about entering into a contract in any time, for any reason, and without stating any reasoning.
- if the e-mail contains an offer, the recipient is entitled to immediately accept such offer; The sender of this e-mail (offer) excludes any acceptance of the offer on the part of the recipient containing any amendment or variation.
- the sender insists on that the respective contract is concluded only upon an express mutual agreement on all its aspects.
- the sender of this e-mail informs that he/she is not authorized to enter into any contracts on behalf of the company except for cases in which he/she is expressly authorized to do so in writing, and such authorization or power of attorney is submitted to the recipient or the person represented by the recipient, or the existence of such authorization is known to the recipient of the person represented by the recipient.

This email transmission and any attachments may contain confidential or legally privileged information that is intended for the addressee(s) only. Any views or opinions presented are solely those of the author and do not necessarily represent those of Aviva Investors. If you are not the intended recipient or person responsible for delivering this information to the intended recipient you are hereby notified that any disclosure, copying, distribution or reliance upon the contents of this email is strictly prohibited. If you have received this email transmission in error please notify the sender immediately so that we may arrange for its proper delivery and delete the message from your inbox.

Aviva Investors Global Services Limited, registered in England No. 1151805. Entered on the Financial Services Register, No: 119178. Authorised and regulated by the Financial Conduct Authority.

Aviva Investors Pensions Limited, registered in England No. 1059606. Entered on the Financial Services Register, No: 110410. Authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority.

Aviva Investors UK Fund Services Limited, registered in England No. 1973412. Entered on the Financial Services Register, No. 119310. Authorised and regulated by the Financial Conduct Authority.

Aviva Investors UK Funds Limited, registered in England No. 2503054. Entered on the Financial Services Register, No. 147088. Authorised and regulated by the Financial Conduct Authority.

Registered Office for all companies: St Helen’s, 1 Undershaft, London EC3P 3DQ. VAT number: 105 4373 00.

Telephone calls to Aviva Investors may be recorded for training or monitoring purposes. We may monitor traffic data of both business and personal emails. By replying to this email, you consent to us monitoring the content of any emails you send to or receive from Aviva Investors.
______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.