CODEWITHSUNDEEP
debuggingjulia
Jalal
Jalal

Reputation: 21

Monte Carlo program throws a method error in Julia

I am running this code but it shows a method error. Can someone please help me?

Code:

function lsmc_am_put(S, K, r, σ, t, N, P)
    Δt = t / N
    R = exp(r * Δt)
    T = typeof(S * exp(-σ^2 * Δt / 2 + σ * √Δt * 0.1) / R)
    X = Array{T}(N+1, P)

    for p = 1:P
        X[1, p] = x = S
        for n = 1:N
            x *= R * exp(-σ^2 * Δt / 2 + σ * √Δt * randn())
            X[n+1, p] = x
        end
    end

    V = [max(K - x, 0) / R for x in X[N+1, :]]

    for n = N-1:-1:1
        I = V .!= 0
        A = [x^d for d = 0:3, x in X[n+1, :]]
        β = A[:, I]' \ V[I]
        cV = A' * β
        for p = 1:P
            ev = max(K - X[n+1, p], 0)
            if I[p] && cV[p] < ev
                V[p] = ev / R
            else
                V[p] /= R
            end
        end
    end

    return max(mean(V), K - S)
end

lsmc_am_put(100, 90, 0.05, 0.3, 180/365, 1000, 10000)

error:

MethodError: no method matching (Array{Float64})(::Int64, ::Int64)
Closest candidates are:
  (Array{T})(::LinearAlgebra.UniformScaling, ::Integer, ::Integer) where T at /Volumes/Julia-1.8.3/Julia-1.8.app/Contents/Resources/julia/share/julia/stdlib/v1.8/LinearAlgebra/src/uniformscaling.jl:508
  (Array{T})(::Nothing, ::Any...) where T at baseext.jl:45
  (Array{T})(::UndefInitializer, ::Int64) where T at boot.jl:473
  ...
Stacktrace:
 [1] lsmc_am_put(S::Int64, K::Int64, r::Float64, σ::Float64, t::Float64, N::Int64, P::Int64)
   @ Main ./REPL[39]:5
 [2] top-level scope
   @ REPL[40]:1

I tried this code and I was expecting a numeric answer but this error came up. I tried to look it up on google but I found nothing that matches my situation.

Upvotes: 0

Views: 68

Answers (1)

Shayan
Shayan

Reputation: 6285

The error occurs where you wrote X = Array{T}(N+1, P). Instead, use one of the following approaches if you need a Vector:

julia> Array{Float64, 1}([1,2,3])
3-element Vector{Float64}:
 1.0
 2.0
 3.0

julia> Vector{Float64}([1, 2, 3])
3-element Vector{Float64}:
 1.0
 2.0
 3.0

And in your case, you should write X = Array{T,1}([N+1, P]) or X = Vector{T}([N+1, P]). But since there's such a X[1, p] = x = S expression in your code, I guess you mean to initialize a 2D array and update its elements through the algorithm. For this, you can define X like the following:

X = zeros(Float64, N+1, P)

# Or

X = Array{Float64, 2}(undef, N+1, P)

So, I tried the following in your code:

# I just changed the definition of `X` in your code like the following
X = Array{T, 2}(undef, N+1, P)

#And the result of the code was:
julia> lsmc_am_put(100, 90, 0.05, 0.3, 180/365, 1000, 10000)
3.329213731484463

Upvotes: 1

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