Error with Difference line

% PlotBLS with varying dS

S = 0:1:10;

S0 = 60;

K = 62;

r = 0.09

sigma = 0.5

for T=3:-0.5:0

      C1 = blsprice(S0+S,K,r,T,sigma);

      C0 = blsprice(S0,K,r,T,sigma);

      delta = blsdelta(S0,K,r,T,sigma);

      gamma = blsgamma(S0,K,r,T,sigma);

      Difference = (C1[T]-(C0+(delta*S)+(0.5*gamma*(S^2))));

       plot(S,Difference);

       hold on;

end 

axis ([0 10 -10 50]);

grid on

Answer 1

[Geoff Hayes]

Manish - is the error message Unbalanced or unexpected parenthesis or bracket.? If so, look closely at this line of code

 Difference = (C1[T]-(C0+(delta*S)+(0.5*gamma*(S^2))));

Since C1 is an array, you need to use the round brackets to access elements within it. Just change the above line to

 Difference = (C1(T)-(C0+(delta*S)+(0.5*gamma*(S^2))));

and try again.

[Manish Abbi]

Geoff, the entire code is below. I want to graph more than 1 plot but only the first plot is generated. Now, I'm getting the error message

Error in api (line 42)
     delta = blsdelta(S0,K,r,T,sigma);

%Calculating a call option and put option prices

S0 = 60;

K = 62;

r = 0.11;

T = 11/12;

sigma = 0.5;

q = 0;

[C, P] = blsprice (S0, K, r, T, sigma, q)

% PlotBLS

S0 = 20:1:80;

   K = 62;

   r = 0.09

   sigma = 0.5

   for T=3:-0.5:0

       plot(S0,blsprice(S0,K,r,T,sigma));

       hold on;

end 

   axis ([20 80 -10 50]);

   grid on

%Illustrating approximation of call price 

CO = blsprice(60, 60, 0.09, 11/12, 0.3)

dS = 2;

C1 = blsprice(60+dS, 60, 0.09, 11/12, 0.3)

delta = blsdelta(60, 60, 0.09, 11/12, 0.3) 

gamma = blsgamma(60, 60, 0.09, 11/12, 0.3) 

CO + delta*dS + 0.5*gamma*dS^2 

% PlotBLS with varying dS

dS = 0:1:10;

S0 = 60;

   K = 62;

   r = 0.09

   sigma = 0.5

   C1 = blsprice(S0+dS,K,r,T,sigma);

       C0 = blsprice(S0,K,r,T,sigma);

       delta = blsdelta(S0,K,r,T,sigma);

   for T=3:-0.5:0

       gamma = blsgamma(S0,K,r,T,sigma);

       Difference = (C1-(C0+(delta*dS)+(0.5*gamma*(dS.^2))));

       plot(S,Difference);

       hold on;

   end 

   axis ([0 10 -10 50]);

   grid on

[Walter Roberson]

What error message are you seeing? Please post everything that shows up in red.

[Manish Abbi]

Error in api (line 42)

     delta = blsdelta(S0,K,r,T,sigma);

[Walter Roberson]

Does it say something about an unknown function or variable "blsdelta"? Does it say something about it being the wrong phase of the moon? Does it say that the weasel made the rich programmer do it?