R using apply/plyr with RQuantlib function

Question

I have a data set in a data frame with the following information:

> head(rs1)
       dater adjStkPrice                optSym     expire strike   bid   ask unadjStkPrice daysLeft   pnl
1 2011-01-03      127.05 SPY   131221P00115000 2013-12-21    115 14.89 15.40        127.05     1083 319.5
2 2011-01-04      126.98 SPY   131221P00115000 2013-12-21    115 15.00 15.39        126.98     1082 328.4
3 2011-01-05      127.64 SPY   131221P00115000 2013-12-21    115 14.39 14.86        127.64     1081 287.2
4 2011-01-06      127.39 SPY   131221P00115000 2013-12-21    115 14.38 14.80        127.39     1080 278.7
5 2011-01-07      127.14 SPY   131221P00115000 2013-12-21    115 14.67 15.10        127.14     1079 300.2
6 2011-01-10      126.98 SPY   131221P00115000 2013-12-21    115 14.75 15.19        126.98     1076 303.4

I'm trying to get the implied volatility using the AmericanOptionImpliedVolatility function in the RQuantLib package. The problem is that it seems to only take single sets of values:

> rs1$impVol <- AmericanOptionImpliedVolatility("put", rs1$ask,
+ rs1$adjStkPrice, rs1$strike, .02, .05, rs1$daysLeft/ 365, .4)$impliedVol
Error in AmericanOptionImpliedVolatility.default("put", rs1$ask, rs1$adjStkPrice,  : 
  expecting a single value

I think this is a spot for the apply function but I'm not sure if I'm using it properly:

> rs1$impVol <- apply(rs1, 1, AmericanOptionImpliedVolatility("put", rs1$ask,
+ rs1$adjStkPrice, rs1$strike, .02, .05, rs1$daysLeft/ 365, .4)$impliedVol)
Error in AmericanOptionImpliedVolatility.default("put", rs1$ask, rs1$adjStkPrice,  : 
  expecting a single value

Any suggestions?

Answer 1

You can use Vectorize or mapply .

Vectorize(AmericanOptionImpliedVolatility)(
  type="put", value=15:16, underlying=130:131, 
  strike=115, dividendYield=.02, riskFreeRate=.05, maturity=1, 
  volatility=.1
)

mapply(
  AmericanOptionImpliedVolatility,
  type="put", value=15:16, underlying=130:131, 
  strike=115, dividendYield=.02, riskFreeRate=.05, maturity=1, 
  volatility=.1
)  

If you want to use apply , its third argument should be a function. In addition, it would convert each row to a vector, which is problematic when some of the columns contain strings.

You could also use sapply on the row numbers, but it is just a loop in disguise, less readable than mapply .

sapply(
  seq_len(nrows(rs1)),
  function(i) AmericanOptionImpliedVolatility( 
    type="put", 
    value=rs1$ask[i],
   ... (add the other arguments)
  )
)