小贝子编程

如何在r中循环优化数据帧



我正在努力将优化函数优化到我的整个数据框架。下面你可以找到我的代码片段，我的优化问题工作时，我使用标量为Strike09 = 1142.757，但现在我想解决这个优化问题在我的整个数据集，其中Strike09, Strike095，…， blackscholesc11是数据集的列，我想为数据集的每一行(对应于日期)获得优化我的函数的5个参数。

下面是要优化的函数和使用标量作为硬参数时的工作优化问题的示例

error_vector_price <- function(Strike09, Strike095, Strike1, Strike105, Strike11, Liborrate, par_x, TimetoMaturity, SPX, blackscholesc09, blackscholesc095, blackscholesc1, blackscholesc105, blackscholesc11){

MixtureCall <- function(Strike, Liborrate, par_x, TimetoMaturity, SPX){

alpha1 = log(SPX) + (par_x[2]-0.5*(par_x[4]^2)*(par_x[4]^2))*TimetoMaturity
alpha2 = log(SPX) + (par_x[3]-0.5*(par_x[5]^2)*(par_x[5]^2))*TimetoMaturity
beta1 = (par_x[4]^2)*(TimetoMaturity^0.5)
beta2 = (par_x[5]^2)*(TimetoMaturity^0.5)
theta = (par_x[1]^2)/(1+par_x[1]^2)

D1 = (-log(Strike) + alpha1 + (beta1 ^ 2)) / beta1
D2 = D1 - beta1
D3 = (-log(Strike) + alpha2 + (beta2 ^ 2)) / beta2
D4 = D3 - beta2
nD1 = sapply(D1,  function(x) pnorm(x))
nD2 = sapply(D2,  function(x) pnorm(x))
nD3 = sapply(D3,  function(x) pnorm(x))
nD4 = sapply(D4,  function(x) pnorm(x))

call1 = exp(alpha1 + beta1 * beta1 / 2) * nD1 - Strike * nD2
call2 = exp(alpha2 + beta2 * beta2 / 2) * nD3 - Strike * nD4

InstRate = (log(1 + Liborrate * TimetoMaturity)) / TimetoMaturity

Mixturecall = exp(-InstRate * TimetoMaturity) * (theta * call1 + (1 - theta) * call2)

return(Mixturecall)
}
MixturePut <- function(Strike, Liborrate, par_x, TimetoMaturity, SPX){

alpha1 = log(SPX) + (par_x[2]-0.5*(par_x[4]^2)*(par_x[4]^2))*TimetoMaturity
alpha2 = log(SPX) + (par_x[3]-0.5*(par_x[5]^2)*(par_x[5]^2))*TimetoMaturity
beta1 = (par_x[4]^2)*(TimetoMaturity^0.5)
beta2 = (par_x[5]^2)*(TimetoMaturity^0.5)
theta = (par_x[1]^2)/(1+par_x[1]^2)

D1 = (-log(Strike) + alpha1 + (beta1 ^ 2)) / beta1
D2 = D1 - beta1
D3 = (-log(Strike) + alpha2 + (beta2 ^ 2)) / beta2
D4 = D3 - beta2
nD1 = sapply(D1, function(x) pnorm(x))
nD2 = sapply(D2, function(x) pnorm(x))
nD3 = sapply(D3, function(x) pnorm(x))
nD4 = sapply(D4, function(x) pnorm(x))

call1 = exp(alpha1 + beta1 * beta1 / 2) * nD1 - Strike * nD2
call2 = exp(alpha2 + beta2 * beta2 / 2) * nD3 - Strike * nD4

InstRate = (log(1 + Liborrate * TimetoMaturity)) / TimetoMaturity

Mixturecall = exp(-InstRate * TimetoMaturity) * (theta * call1 + (1 - theta) * call2)

fwdprice = theta * exp(alpha1 + beta1 * beta1 / 2) + (1 - theta) * exp(alpha2 + beta2 * beta2 / 2)

Mixtureput = Mixturecall + (Strike - fwdprice) / (1 + Liborrate * TimetoMaturity)

return(Mixtureput)
}
model_price_vector09 <- MixturePut(Strike09, Liborrate, par_x, TimetoMaturity, SPX)
model_price_vector095 <- MixturePut(Strike095, Liborrate, par_x, TimetoMaturity, SPX)
model_price_vector1 <- MixturePut(Strike1, Liborrate, par_x, TimetoMaturity, SPX)
model_price_vector105 <- MixtureCall(Strike105, Liborrate, par_x, TimetoMaturity, SPX)
model_price_vector11 <- MixtureCall(Strike11, Liborrate, par_x, TimetoMaturity, SPX)
error_vector_price <- (((blackscholesc09 - model_price_vector09)^2+(blackscholesc095 - model_price_vector095)^2+(blackscholesc1 - model_price_vector1)^2+(blackscholesc105 - model_price_vector105)^2+(blackscholesc11 - model_price_vector11)^2))
return(error_vector_price)
}

x_seed <- c(0.64,-0.57,0.25,0.53,0.36)
results <- optim( x_seed , fn = error_vector_price, gr = NULL,  Strike09 = 1142.757, Strike095 = 1206.2435, Strike1 = 1269.73, Strike105 = 1333.216, Strike11 = 1396.703, Liborrate = 0.0505750, TimetoMaturity = 0.25, SPX = 1269.73, blackscholesc09=24.995126, blackscholesc095=37.78425, blackscholesc1=57.87691, blackscholesc105=33.47135, blackscholesc11=12.671979, method = "L-BFGS-B", upper = (1))
x_star <- results$par
x_star

我现在想在我的数据集上循环这个优化问题，并为每一行获得5个参数最小化我的函数。我的数据集由13个变量的152个对象组成，这13个变量是我优化问题的硬参数(Strike09, Strike095, Strike1, Strike105, Strike11, librate, TimetoMaturity, SPX, blackscholesc09, blackscholesc095, blackscholesc1, blackscholesc105, blackscholesc11)。思路如下，但后面的循环不起作用，我不确定循环是不是最好的方法

MIN_DATA1 =data.frame(Strike09 <-  c (1142.757, 1090.971, 1111.644, 1138.833), Strike095 <- c (1206.2435, 1151.5805,1173.4020, 1202.1015), Strike1 <- c (1269.73, 1212.19, 1235.16, 1265.37),Strike105 <- c (1333.216, 1272.800, 1296.918, 1328.639), Strike11 <- c (1396.703,1333.409, 1358.676, 1391.907), Liborrate <- c (0.0505750, 0.0500500, 0.0497078, 0.0496969), TimetoMaturity <- c (0.25, 0.25, 0.25, 0.25), SPX <- c (1269.73, 1212.19, 1235.16, 1265.37), blackscholesc09 <- c(24.995126, 34.905765, 32.103535, 29.686353), blackscholesc095 <- c(37.78425, 50.31239, 45.41761, 43.50957), blackscholesc1 <- c(57.87691, 69.78892, 65.36423, 64.41497), blackscholesc105 <- c(33.47135, 44.10261, 44.12110, 41.11879), blackscholesc11<- c(12.671979, 21.055396, 21.175705, 18.883918))

for (i in 1:length(MIN_DATA)){
results[i] <- optim( x_seed , fn = error_vector_price, gr = NULL,  Strike09[i], Strike095[i], Strike1[i], Strike105[i], Strike11[i], Liborrate[i], TimetoMaturity[h], SPX[i], blackscholesc09[i], blackscholesc095[i], blackscholesc1[i], blackscholesc105[i], blackscholesc11[i], method = "L-BFGS-B", upper = (0.9))
}
results

我希望我的问题足够清楚。

好的，那么答案是:

results <- vector("list", length = nrow(MIN_DATA1))
with(MIN_DATA1,
for (i in seq_len(nrow(MIN_DATA1))) {
results[[i]] <<-
optim(
x_seed,
fn = error_vector_price,
gr = NULL,
Strike09 = Strike09[i],
Strike095 = Strike095[i],
Strike1 = Strike1[i],
Strike105 = Strike105[i],
Strike11 = Strike11[i],
Liborrate = Liborrate[i],
TimetoMaturity = TimetoMaturity[i],
SPX = SPX[i],
blackscholesc09 = blackscholesc09[i],
blackscholesc095 = blackscholesc095[i],
blackscholesc1 = blackscholesc1[i],
blackscholesc105 = blackscholesc105[i],
blackscholesc11 = blackscholesc11[i],
method = "L-BFGS-B",
upper = (0.9)
)
}
)

但是有一堆东西可以调整你的脚本。我做了一些修改，粘贴到这里

#' This comes from [SO](https://stackoverflow.com/questions/69648537/how-to-loop-optim-over-a-dataframe-in-r?noredirect=1#comment123111774_69648537)
#'
#'
#'
x_seed <- c(0.64,-0.57,0.25,0.53,0.36)

MIN_DATA1 <-  data.frame(
Strike09 =
c(1142.757, 1090.971, 1111.644, 1138.833),
Strike095 =
c(1206.2435, 1151.5805, 1173.4020, 1202.1015),
Strike1 =
c(1269.73, 1212.19, 1235.16, 1265.37),
Strike105 =
c(1333.216, 1272.800, 1296.918, 1328.639),
Strike11 =
c(1396.703, 1333.409, 1358.676, 1391.907),
Liborrate =
c(0.0505750, 0.0500500, 0.0497078, 0.0496969),
TimetoMaturity =
c(0.25, 0.25, 0.25, 0.25),
SPX =
c(1269.73, 1212.19, 1235.16, 1265.37),
blackscholesc09 =
c(24.995126, 34.905765, 32.103535, 29.686353),
blackscholesc095 =
c(37.78425, 50.31239, 45.41761, 43.50957),
blackscholesc1 =
c(57.87691, 69.78892, 65.36423, 64.41497),
blackscholesc105 =
c(33.47135, 44.10261, 44.12110, 41.11879),
blackscholesc11 = c(12.671979, 21.055396, 21.175705, 18.883918)
)


MixtureCall <- function(Strike, Liborrate, par_x, TimetoMaturity, SPX) {
alpha1 <- log(SPX) + (par_x[2]-0.5*(par_x[4]^2)*(par_x[4]^2))*TimetoMaturity
alpha2 <- log(SPX) + (par_x[3]-0.5*(par_x[5]^2)*(par_x[5]^2))*TimetoMaturity
beta1  <- (par_x[4]^2)*(TimetoMaturity^0.5)
beta2  <- (par_x[5]^2)*(TimetoMaturity^0.5)
theta  <- (par_x[1]^2)/(1+par_x[1]^2)
D1 <- (-log(Strike) + alpha1 + (beta1 ^ 2)) / beta1
D2 <- D1 - beta1
D3 <- (-log(Strike) + alpha2 + (beta2 ^ 2)) / beta2
D4 <- D3 - beta2
nD1 <- sapply(D1,  function(x) pnorm(x))
nD2 <- sapply(D2,  function(x) pnorm(x))
nD3 <- sapply(D3,  function(x) pnorm(x))
nD4 <- sapply(D4,  function(x) pnorm(x))
call1 <- exp(alpha1 + beta1 * beta1 / 2) * nD1 - Strike * nD2
call2 <- exp(alpha2 + beta2 * beta2 / 2) * nD3 - Strike * nD4
InstRate <- (log(1 + Liborrate * TimetoMaturity)) / TimetoMaturity
Mixturecall <- exp(-InstRate * TimetoMaturity) * (theta * call1 + (1 - theta) * call2)
return(Mixturecall)
}
# MixtureCall(Strike105, Liborrate, par_x, TimetoMaturity, SPX)
# MixtureCall(Strike11, Liborrate, par_x, TimetoMaturity, SPX)
# MixtureCall(Strike = MIN_DATA1$Strike105[1],
#             Liborrate = MIN_DATA1$Liborrate[1],
#             par_x = x_seed,
#             TimetoMaturity = MIN_DATA1$TimetoMaturity[1],
#             SPX = MIN_DATA1$SPX[1])
# MixtureCall(Strike = MIN_DATA1$Strike11[1],
#             Liborrate = MIN_DATA1$Liborrate[1],
#             par_x = x_seed,
#             TimetoMaturity = MIN_DATA1$TimetoMaturity[1],
#             SPX = MIN_DATA1$SPX[1])

MixturePut <- function(Strike, Liborrate, par_x, TimetoMaturity, SPX){
alpha1 = log(SPX) + (par_x[2]-0.5*(par_x[4]^2)*(par_x[4]^2))*TimetoMaturity
alpha2 = log(SPX) + (par_x[3]-0.5*(par_x[5]^2)*(par_x[5]^2))*TimetoMaturity
beta1 = (par_x[4]^2)*(TimetoMaturity^0.5)
beta2 = (par_x[5]^2)*(TimetoMaturity^0.5)
theta = (par_x[1]^2)/(1+par_x[1]^2)
D1 = (-log(Strike) + alpha1 + (beta1 ^ 2)) / beta1
D2 = D1 - beta1
D3 = (-log(Strike) + alpha2 + (beta2 ^ 2)) / beta2
D4 = D3 - beta2
nD1 = sapply(D1, function(x) pnorm(x))
nD2 = sapply(D2, function(x) pnorm(x))
nD3 = sapply(D3, function(x) pnorm(x))
nD4 = sapply(D4, function(x) pnorm(x))
call1 = exp(alpha1 + beta1 * beta1 / 2) * nD1 - Strike * nD2
call2 = exp(alpha2 + beta2 * beta2 / 2) * nD3 - Strike * nD4
InstRate = (log(1 + Liborrate * TimetoMaturity)) / TimetoMaturity
Mixturecall = exp(-InstRate * TimetoMaturity) * (theta * call1 + (1 - theta) * call2)
fwdprice = theta * exp(alpha1 + beta1 * beta1 / 2) + (1 - theta) * exp(alpha2 + beta2 * beta2 / 2)
Mixtureput = Mixturecall + (Strike - fwdprice) / (1 + Liborrate * TimetoMaturity)
return(Mixtureput)
}

# MixturePut(Strike09, Liborrate, par_x, TimetoMaturity, SPX)
# MixturePut(Strike095, Liborrate, par_x, TimetoMaturity, SPX)
# MixturePut(Strike1, Liborrate, par_x, TimetoMaturity, SPX)
#
# debug(MixturePut)
# MixturePut(Strike = MIN_DATA1$Strike09[1],
#            Liborrate = MIN_DATA1$Liborrate[1],
#            par_x = x_seed,
#            TimetoMaturity = MIN_DATA1[1],
#            SPX = MIN_DATA1$SPX[1])
# MixturePut(Strike = MIN_DATA1$Strike095[1],
#            Liborrate = MIN_DATA1$Liborrate[1],
#            par_x = x_seed,
#            TimetoMaturity = MIN_DATA1[1],
#            SPX = MIN_DATA1$SPX[1])
# MixturePut(Strike = MIN_DATA1$Strike1[1],
#            Liborrate = MIN_DATA1$Liborrate[1],
#            par_x = x_seed,
#            TimetoMaturity = MIN_DATA1[1],
#            SPX = MIN_DATA1$SPX[1])

error_vector_price <- function(Strike09, Strike095,
Strike1, Strike105, Strike11,
Liborrate, par_x,
TimetoMaturity, SPX,
blackscholesc09, blackscholesc095,
blackscholesc1, blackscholesc105, blackscholesc11){
model_price_vector09  <- MixturePut(Strike09, Liborrate, par_x, TimetoMaturity, SPX)
model_price_vector095 <- MixturePut(Strike095, Liborrate, par_x, TimetoMaturity, SPX)
model_price_vector1   <- MixturePut(Strike1, Liborrate, par_x, TimetoMaturity, SPX)
model_price_vector105 <- MixtureCall(Strike105, Liborrate, par_x, TimetoMaturity, SPX)
model_price_vector11  <- MixtureCall(Strike11, Liborrate, par_x, TimetoMaturity, SPX)
error_vector_price <-
(((blackscholesc09 - model_price_vector09) ^ 2 + (blackscholesc095 - model_price_vector095) ^
2 + (blackscholesc1 - model_price_vector1) ^ 2 + (blackscholesc105 - model_price_vector105) ^
2 + (blackscholesc11 - model_price_vector11) ^ 2
))
return(error_vector_price)
}

results <-
optim(
x_seed ,
fn = error_vector_price,
gr = NULL,
Strike09 = 1142.757,
Strike095 = 1206.2435,
Strike1 = 1269.73,
Strike105 = 1333.216,
Strike11 = 1396.703,
Liborrate = 0.0505750,
TimetoMaturity = 0.25,
SPX = 1269.73,
blackscholesc09 = 24.995126,
blackscholesc095 = 37.78425,
blackscholesc1 = 57.87691,
blackscholesc105 = 33.47135,
blackscholesc11 = 12.671979,
method = "L-BFGS-B",
upper = (1)
)
x_star <- results$par
x_star
results <- vector("list", length = nrow(MIN_DATA1))
with(MIN_DATA1,
for (i in seq_len(nrow(MIN_DATA1))) {
results[[i]] <<-
optim(
x_seed,
fn = error_vector_price,
gr = NULL,
Strike09 = Strike09[i],
Strike095 = Strike095[i],
Strike1 = Strike1[i],
Strike105 = Strike105[i],
Strike11 = Strike11[i],
Liborrate = Liborrate[i],
TimetoMaturity = TimetoMaturity[i],
SPX = SPX[i],
blackscholesc09 = blackscholesc09[i],
blackscholesc095 = blackscholesc095[i],
blackscholesc1 = blackscholesc1[i],
blackscholesc105 = blackscholesc105[i],
blackscholesc11 = blackscholesc11[i],
method = "L-BFGS-B",
upper = (0.9)
)
}
)
library(tidyverse)
results %>%
enframe() %>%
unnest_wider(value) %>%
unnest_wider(par)

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