function fzero
in [Matlab]
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From: Jean-Philip Dumont on 30 Jul 2010 08:47 Hi, I'm trying to use the function fzero but it doesn't work. More specifically, I have a external function called ZCC that evaluates two options to create a zero cost collar. Basically, the output is the cost of the strategy and all my inputs are fixed except one of them which is a strike price of one of the two options. I'm making this strike price vary in order to have a cost of 0. Here is the command for my function : [Cost Price] = ZCC(Kz, Fee, N, r, rf, Vol, St, K, D) and he is my command to find the Kz that is required in order to have an output Cost equal to zero. Kz = fzero(@ZCC,K0,Options, Fee, N, r, rf, Vol, St, K, D) and i obtain this error : ??? Error using ==> erfcore Input must be real. Error in ==> normcdf at 68 p = 0.5 * erfc(-z ./ sqrt(2)); Error in ==> ZCC at 62 C = St*exp(-rf*T)*normcdf(d1z)-Kz*exp(-r*T)*normcdf(d2z); Error in ==> fzero at 369 a = x - dx; fa = FunFcn(a,varargin{:}); Can someone tell me what i'm doing wrong? Thank you very much!
From: Jean-Philip Dumont on 30 Jul 2010 09:03 "Jean-Philip Dumont" <jean-philip.dumont(a)hec.ca> wrote in message <i2uhk8$2s6$1(a)fred.mathworks.com>... > Hi, > > I'm trying to use the function fzero but it doesn't work. > > More specifically, I have a external function called ZCC that evaluates two options to create a zero cost collar. Basically, the output is the cost of the strategy and all my inputs are fixed except one of them which is a strike price of one of the two options. I'm making this strike price vary in order to have a cost of 0. > > Here is the command for my function : > > [Cost Price] = ZCC(Kz, Fee, N, r, rf, Vol, St, K, D) > > and he is my command to find the Kz that is required in order to have an output Cost equal to zero. > > Kz = fzero(@ZCC,K0,Options, Fee, N, r, rf, Vol, St, K, D) > and i obtain this error : > > ??? Error using ==> erfcore > Input must be real. > > Error in ==> normcdf at 68 > p = 0.5 * erfc(-z ./ sqrt(2)); > > Error in ==> ZCC at 62 > C = St*exp(-rf*T)*normcdf(d1z)-Kz*exp(-r*T)*normcdf(d2z); > > Error in ==> fzero at 369 > a = x - dx; fa = FunFcn(a,varargin{:}); > > Can someone tell me what i'm doing wrong? > > Thank you very much! SORRY, FORGET IT! IT WAS A DUMB MISTAKE IN MY FUNCTION. HAVE A NICE DAY EVERYONE
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