Jonas,
Take a look at CRRBinomialTreeOption{fOptions} in which Diethelm Wuertz
uses a double loop,
but of course, he's optimized it to use only a vector instead of a
matrix!David L. Reiner, PhD Head Quant Rho Trading Securities, LLC -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Jonas Malmros Sent: Wednesday, March 19, 2008 9:04 AM To: [email protected] Subject: [R] How to remove double loop? Bill, Alberto, Gabor, Thank you for answering my question. Now I learned about outer() function. That was a straightforward example. But what if I had a matrix, where the last column was filled with values first (again, a for loop), and the rest was filled by using a double loop? OVal <- matrix(0, n+1, n+1) for(i in 0:n){ OVal[i+1, n+1] <- max(Val[i+1, n+1]-K, 0) } for(i in seq(n,1, by=-1)){ for(j in 0:(i-1)){ OVal[j+1, i] <- a*((1-p)*OVal[j+1, i+1]+p*OVal[j+2, i+1]) } } Even if I leave the first simple for loop as it is, is there a more efficient way to program the double loop part now that OVal is used within the function itself? It is pretty easy to write for loops, but it is very hard to write computationally optimal code. :-( Could you please help me with the above one, if possible? -- Jonas Malmros Stockholm University Stockholm, Sweden ______________________________________________ [email protected] mailing list 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. ______________________________________________ [email protected] mailing list 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.
