Warning: Matrix is singular to working precision.

I am trying to create a 3D plot of option Vanna. However, I have this error "Warning: Matrix is singular to working precision." What am I doing wrong?

% Black Scholes Vanna
% Steven Semeraro

sigma = ones(100, 100) * 0.2;
stock = ones(100, 100) * 50; 
    
x = 1:100;
y = 0.01:0.01:1;
[strike, time] = meshgrid(x, y); 

% The Error is in these lines
d1 = log(stock / strike) + (sigma^2 / 2) * time; 
d1 = d1 / sigma * sqrt(time); 
d2 = log(stock / strike) + (sigma^2 / 2) * time; 
d2 = d2 / sigma * sqrt(time); 

vanna = -((exp(-(d1^2/2))) / (sqrt(2 * pi)) ) * d2 * sigma;

surf(strike, time, vanna); 
title("S = 50, Vol = 0.2");
xlabel("Strike Price"); 
ylabel("Time To Expiration"); 
zlabel("Vanna"); 

[Mathieu NOE]

hello

I cannot say if the code is correct , but you are doing multiple matrix divisions, like stock / strike

but you cannot make a reliable inversion of strike because all lines are identical

strike =

Columns 1 through 14

1 2 3 4 5 6 7 8 9 10 11 12 13 14

1 2 3 4 5 6 7 8 9 10 11 12 13 14

1 2 3 4 5 6 7 8 9 10 11 12 13 14

1 2 3 4 5 6 7 8 9 10 11 12 13 14

.....

same comment every time you do these matrix divisions

Answer 1

[madhan ravi]

% Black Scholes Vanna
% Steven Semeraro

sigma = ones(100, 100) * 0.2;
stock = ones(100, 100) * 50; 
    
x = 1:100;
y = 0.01:0.01:1;
[strike, time] = meshgrid(x, y); 

d1 = log(stock ./ strike) + (sigma.^2 / 2) .* time; 
d1 = (d1 ./ sigma) .* sqrt(time); 
d2 = log(stock ./ strike) + (sigma.^2 / 2) .* time; 
d2 = (d2 ./ sigma) .* sqrt(time); 

vanna = -((exp(-(d1.^2/2))) / (sqrt(2 * pi)) ) .* d2 .* sigma;

surf(strike, time, vanna); 
title("S = 50, Vol = 0.2");
xlabel("Strike Price"); 
ylabel("Time To Expiration"); 
zlabel("Vanna");