Subscripted assignment dimension mismatch.

Question

Mario 2013-8-20

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Hi all,

every time I run this function I get the following error message:

Subscripted assignment dimension mismatch.
Error in volas (line 12)
                 LMMVol(i,j) = RebonatoFormula(point(4), point(5), point(6),
                 point(7), psi, point(1:3), maturities, rates, i, i+j)
                 %tenorDate+tenorDate
function [sse] = volas(point, tenorDate, maturities, rates, maturity, marketData) %point=[beta(1) beta(2) beta(3) a b c d]
          LMMVol=zeros(tenorDate-1);
          alph=[point(4) point(5) point(6) point(7)];
          psi =  CoTerminalVolaCallibration(alph, point(1:3), maturities, rates, maturity, tenorDate, tenorDate+tenorDate, marketData);
          for i=1:tenorDate-1
              for j=1:tenorDate-i
                   %RebonatoFormula
                   LMMVol(i,j) = RebonatoFormula(point(4), point(5), point(6), point(7), psi, point(1:3), maturities, rates, i, i+j) %tenorDate+tenorDate
                   CompData(i,j) = marketData(i,j)
              end
          end
          errors = LMMVol - CompData;
          sse = sum(sum(errors .^ 2));
end

when i take away (i,j) from LMMVol in line 12, the code works but instead of the needed LMMVol-Matrix with dimension tenorLength-1 (or 10), I only get a scalar.

Does anyone know how I will get a matrix as a result?

Thanks a lot.

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the cyclist 2013-8-20

Can you supply examples of the input parameters, so that you have self-contained code that we can actually run and show the error?

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Answer 1

Iain 2013-8-20

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The error is due to the fact that the RebonatoFormula function does not always output scalar values.

You need to determine exactly what it outputs, and handle that instead of assuming that it just outputs a scalar value.

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Answer 2

Mario 2013-8-20

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编辑：Walter Roberson 2013-8-20

在 MATLAB Online 中打开

absolutely:

function V =  RebonatoFormula(a, b, c, d, psi, beta, maturities, rates, maturity, tenorDate) %horizon
     CORR=CorrelationMatrix(beta, maturities, tenorDate-1, maturity, tenorDate);
     V=0;
     for indexI=maturity:tenorDate-1
         for indexJ=maturity:tenorDate-1
             test=quad(@vola,0,maturity);
              V=V+weights(indexI, maturity, tenorDate, rates)*weights(indexJ, maturity, tenorDate, rates)*rates(indexI)*rates(indexJ)*CORR(indexI,indexJ)*quad(@vola,0,maturity); %S.15 Formel (Zähler+Integral)
         end
     end
     V=sqrt((1/maturity)*V*(1./swapRate^2));
     function v = vola(time)
          v1  = VolFunc(a, b, c, d, psi(indexI), time, maturity);
          v2  = VolFunc(a, b, c, d, psi(indexJ), time, maturity);
          v   = v1.*v2;
     end
     function w = weights(index, maturity, tenorDate, rates)
          helper= cumprod(1./(1+rates(maturity:tenorDate-1)));
          nom   = helper(index-maturity+1);
          denom = cumsum(helper);
          w     = nom./denom(tenorDate-maturity);
     end
     function S = swapRate
              S = rates(maturity:tenorDate-1)*weights(maturity:tenorDate-1, maturity, tenorDate, rates)';
     end
end
function CORR = CorrelationMatrix(beta, maturities, horizon, startRate, endRate)
   CORR=zeros(endRate-startRate);
   for i = startRate:endRate
        for j = startRate:endRate
            CORR(i,j) = CorrFunc(beta, horizon, maturities(j), maturities(i));
        end
   end
end

Inputs:

marketData=[0.252000000000000,0.218000000000000,0.191000000000000,0.173000000000000,0.159000000000000,0.147000000000000,0.139000000000000,0.131000000000000,0.128000000000000,0.124000000000000;0.235000000000000,0.201000000000000,0.179000000000000,0.163000000000000,0.150000000000000,0.140000000000000,0.133000000000000,0.125100000000000,0.122000000000000,0.118000000000000;0.214000000000000,0.187000000000000,0.168000000000000,0.153000000000000,0.142000000000000,0.132000000000000,0.126000000000000,0.119000000000000,0.117000000000000,0.113000000000000;0.194000000000000,0.174000000000000,0.157000000000000,0.144000000000000,0.134000000000000,0.126000000000000,0.120000000000000,0.114000000000000,0.111000000000000,0.108000000000000;0.180000000000000,0.163000000000000,0.147000000000000,0.135000000000000,0.127000000000000,0.119000000000000,0.114000000000000,0.108000000000000,0.106000000000000,0.103000000000000;0.168000000000000,0.153000000000000,0.138000000000000,0.130000000000000,0.122000000000000,0.116000000000000,0.112000000000000,0.106000000000000,0.104000000000000,0.101000000000000;0.159000000000000,0.146000000000000,0.134000000000000,0.126000000000000,0.120000000000000,0.115000000000000,0.111000000000000,0.106000000000000,0.104000000000000,0.101000000000000;0.151000000000000,0.140000000000000,0.130000000000000,0.124000000000000,0.118000000000000,0.113000000000000,0.109000000000000,0.104000000000000,0.103000000000000,0.100000000000000;0.145000000000000,0.135000000000000,0.128000000000000,0.121000000000000,0.116000000000000,0.111000000000000,0.108000000000000,0.103000000000000,0.102000000000000,0.099000000000000;0.139000000000000,0.132000000000000,0.125000000000000,0.119000000000000,0.115000000000000,0.111000000000000,0.108000000000000,0.103000000000000,0.102000000000000,0.099000000000000];
rates=[.0299 .0366 .041 .0444 .0475 .0497 .0514 .0522 .053 .054]';
maturity = 1;
maturities = [[3,4,5,6,7,8,9,10,11,12;4,5,6,7,8,9,10,11,12,13;5,6,7,8,9,10,11,12,13,14;6,7,8,9,10,11,12,13,14,15;7,8,9,10,11,12,13,14,15,16;8,9,10,11,12,13,14,15,16,17;9,10,11,12,13,14,15,16,17,18;10,11,12,13,14,15,7,17,18,19;11,12,13,14,15,16,17,18,19,20;12,13,14,15,16,17,18,19,20,21;]];
tenorDate = 11;
horizon= tenorDate+tenorDate;
startRate= 10;
endRate= tenorDate+tenorDate-2;
index=maturity:tenorDate-1;
psi=ones(1,tenorDate-1);
a=0;
b=.2;
c=.3;
d=.1;
beta=[.2 .1 .05]';
time=0;
time_k=10;
alph=[a b c d];
point=[beta(1) beta(2) beta(3) a b c d];