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Subscripted assignment dimension mismatch.

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Mario
Mario am 20 Aug. 2013
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.
  1 Kommentar
the cyclist
the cyclist am 20 Aug. 2013
Can you supply examples of the input parameters, so that you have self-contained code that we can actually run and show the error?

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Antworten (2)

Iain
Iain am 20 Aug. 2013
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.

Mario
Mario am 20 Aug. 2013
Bearbeitet: Walter Roberson am 20 Aug. 2013
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];

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