Cannot understand this MATLAB syntax? - matlab

for i=0:255
m(i+1)=sum((0:i)'.*p(1:i+1)); end
What is happening can anyone explain. p is an array of size 256 elements same as m.

p = (0:255)';
m = zeros(1,256);
for i=0:255
m(i+1)=sum((0:i)'.*p(1:i+1));
end
m[i+1] contains the scalar product of [0,1,2,..,i] with (p[1],...,p[i+1])
You can write it as :
p = (0:255);
m = zeros(1,256);
for i=0:255
m(i+1)=sum((0:i).*p(1:i+1));
end
Or:
p = (0:255);
m = zeros(1,256);
for i=0:255
m(i+1)=(0:i)*p(1:i+1)';
end
In case you don't recall, that is the definition of scalar product

Whatever the p is, you can calculate m by:
dm = (0 : length(p) - 1)' .* p(:); % process as column vector
m = cumsum(dm);
Hint: write the formula for m[n], then for m[n+1], then subtract to get the formula:
m[n+1] - m[n] = (n - 1) * p[n]
and this is dm.

Related

Black Scholes function with vector inputs in Matlab

I'm trying to write a function in Matlab that calculates the Call price using the Black Scholes formula with vector inputs. I have so far:
function [C] = BlackScholesCall(S,K,t,r,sigma)
%This function calculates the call price per Black-Scholes equation
%INPUT S ... stock price at time 0
% K ... strike price
% r ... interest rate
% sigma ... volatility of the stock price measured as annual standard deviation
% t ... duration in years
%OUTPUT C ... call price
%USAGE BlackScholesCall(S,K,t,r,sigma)
for l = 1:length(K)
for z = 1:length(t)
d1 = (log(S/K(l)) + (r + 0.5*sigma^2)*t(z))/(sigma*sqrt(t(z)));
d2 = d1 - sigma*sqrt(t(z));
N1 = 0.5*(1+erf(d1/sqrt(2)));
N2 = 0.5*(1+erf(d2/sqrt(2)));
C(l) = S*N1-K(l)*exp(-r*t(z))*N2;
end
end
end
F.e. the code to call my function would be
S = 20
K = 16:21
t = 1:1:5
r = 0.02
sigma = 0.25
C = BlackScholesCall(S, K, t, r, sigma)
But when I compare this with the results of the blsprice function in Matlab, I get different results. I suspect there might be something wrong with the way I did the loop?
You are getting the same results as,
>> blsprice(S,K,r,t(end),sigma)
ans =
7.1509 6.6114 6.1092 5.6427 5.2102 4.8097
This is because by using C(l) = ... you are overwriting each element of C numel(t) times, and hence only storing/returning the last calculated values for each value of z.
At a minimum you need to use,
%C(l) = S*N1-K(l)*exp(-r*t(z))*N2;
C(z,l) = S*N1-K(l)*exp(-r*t(z))*N2;
But you should also pre-allocate your output matrix. That is, before either of the loops, you should add
C = nan(numel(K),numel(t));
Finally, you should note that you don't need to use any loops at all,
[Kmat,tmat] = meshgrid(K,t);
d1 = (log(S./Kmat) + (r + 0.5*sigma^2)*tmat)./(sigma*sqrt(tmat));
d2 = d1 - sigma*sqrt(tmat);
N1 = 0.5*(1+erf(d1/sqrt(2)));
N2 = 0.5*(1+erf(d2/sqrt(2)));
C = S*N1-Kmat.*exp(-r*tmat).*N2;
An R version could be the following.
BlackScholesCall <- function(S, K, tt, r, sigma){
f <- function(.K, .tt){
d1 <- (log(S/.K) + (r + 0.5*sigma^2)*.tt)/(sigma*sqrt(.tt))
d2 <- d1 - sigma*sqrt(.tt)
S*pnorm(d1) - .K*exp(-r*.tt)*pnorm(d2)
}
m <- length(K)
n <- length(tt)
o <- outer(K, tt, f)
last <- if(m > n) o[n:m, n] else o[m, m:n]
c(diag(o), last)
}
BlackScholesCall(S, K, tt, r, sigma)
#[1] 4.703480 4.783563 4.914990 5.059922 5.210161 5.210161 4.809748

Simplifying function by removing a loop

What would be the best way to simplify a function by getting rid of a loop?
function Q = gs(f, a, b)
X(4) = sqrt((3+2*sqrt(6/5))/7);
X(3) = sqrt((3-2*sqrt(6/5))/7);
X(2) = -sqrt((3-2*sqrt(6/5))/7);
X(1) = -sqrt((3+2*sqrt(6/5))/7);
W(4) = (18-sqrt(30))/36;
W(3) = (18+sqrt(30))/36;
W(2) = (18+sqrt(30))/36;
W(1) = (18-sqrt(30))/36;
Q = 0;
for i = 1:4
W(i) = (W(i)*(b-a))/2;
X(i) = ((b-a)*X(i)+(b+a))/2;
Q = Q + W(i) * f(X(i));
end
end
Is there any way to use any vector-like solution instead of a for loop?
sum is your best friend here. Also, declaring some constants and creating vectors is useful:
function Q = gs(f, a, b)
c = sqrt((3+2*sqrt(6/5))/7);
d = sqrt((3-2*sqrt(6/5))/7);
e = (18-sqrt(30))/36;
g = (18+sqrt(30))/36;
X = [-c -d d c];
W = [e g g e];
W = ((b - a) / 2) * W;
X = ((b - a)*X + (b + a)) / 2;
Q = sum(W .* f(X));
end
Note that MATLAB loves to handle element-wise operations, so the key is to replace the for loop at the end with scaling all of the elements in W and X with those scaling factors seen in your loop. In addition, using the element-wise multiplication (.*) is key. This of course assumes that f can handle things in an element-wise fashion. If it doesn't, then there's no way to avoid the for loop.
I would highly recommend you consult the MATLAB tutorial on element-wise operations before you venture onwards on your MATLAB journey: https://www.mathworks.com/help/matlab/matlab_prog/array-vs-matrix-operations.html

Vectorization of Matrix Quadratics in MATLAB

I am trying to "vectorize" this loop in Matlab for computational efficiency
for t=1:T
j=1;
for m=1:M
for n=1:N
y(t,j) = v{m,n} + data(t,:)*b{m,n} + data(t,:)*f{m,n}*data(t,:)';
j=j+1;
end
end
end
Where v is a (M x N) cell of scalars. b is a (M x N) cell of (K x 1) vectors. f is a (M x N) cell of (K x K) matrices. data is a (T x K) array.
To give an example of what I mean the code I used to vectorize the same loop without the quadratic term is:
B = [reshape(cell2mat(v)',1,N*M);cell2mat(reshape(b'),1,M*N)];
X = [ones(T,1),data];
y = X*B;
Thanks!
For those interested here was the solution I found
f = f';
tMat = blkdiag(f{:})+(blkdiag(f{:}))';
y2BB = [reshape(cell2mat(v)',1,N*M);...
cell2mat(reshape(b',1,M*N));...
reshape(diag(blkdiag(f{:})),K,N*M);...
reshape(tMat((tril(tMat,-1)~=0)),sum(1:K-1),M*N)];
y2YBar = [ones(T,1),data,data.^2];
jj=1;
kk=1;
ll=1;
for k=1:sum(1:K-1)
y2YBar = [y2YBar,data(:,jj).*data(:,kk+jj)];
if kk<(K-ll)
kk=kk+1;
else
kk=1;
jj=jj+1;
ll=ll+1;
end
end
y = y2YBar*y2BB;
Here's the most vectorized form targeted for performance -
% Extract as multi-dim arrays
vA = reshape([v{:}],M,N);
bA = reshape([b{:}],K,M,N);
fA = reshape([f{:}],K,K,M,N);
% Perform : data(t,:)*f{m,n} for all iterations
data_f_mult = reshape(data*reshape(fA,K,[]),T,K,M,N);
% Now there are three parts :
% v{m,n}
% data(t,:)*b{m,n}
% data(t,:)*f{m,n}*data(t,:)';
% Compute those parts one by one
parte1 = vA(:).';
parte2 = data*reshape(bA,[],M*N);
parte3 = zeros(T,M*N);
for t = 1:T
parte3(t,:) = data(t,:)*reshape(data_f_mult(t,:,:),K,[]);
end
% Finally sum those up and to present in desired format permute dims
sums = bsxfun(#plus, parte1, parte2 + parte3);
out = reshape(permute(reshape(sums,T,M,N),[1,3,2]),[],M*N);

Implementing a filter in Matlab

I am trying to implement the following filter on a discrete signal x:
I'm supposed to write a MATLAB function that takes a length-M (> N) vector x and a scalar N as input. The output should be a length-M vector y.
I should then test the filter with M = 50, x[n]=cos(n*pi/5)+dirac[n-30]-dirac[n-35] and N = 4, 8, 12.
Here is my try, which returns Inf with the given input and N:
function y = filt( x, N )
% filter function
if(~isvector(x))
error('Input must be a vector')
end
y = zeros(1,length(x));
temp = zeros(1,length(x));
n=1;
for v = x(:)
temp(n) = v(n);
if(n <= N-1)
y(n) = max(x);
n = n+1;
elseif(n >= N-1)
y(n) = max(temp);
end
end
end
I also tried using the built-in filter function but I can't get it to work.
Code for using the filter:
p = zeros(1,50);
for i=0:50
p(i+1)= cos(i*pi/5)+dirac(i-30)-dirac(i-35)
end
y = filt(p,4)
Thanks in advance.
That's because dirac(0) gives you Inf. This will happen in two places in your signal, where n=30 and n=35. I'm assuming you want the unit impulse instead. As such, create a signal where at n = 31 and n = 36, the output is 1, then add this with your cosine signal. This is because MATLAB starts indexing at 1 and not 0, and so dirac[0] would mean that the first point of your signal is non-zero, so translating this over by 30: dirac[n-30] would mean that the 31st point is non-zero. Similar case for dirac[n-35], so the 36th point is non-zero:
p = zeros(1,50);
p(31) = 1; p(36) = 1;
p = p + cos((0:49)*pi/5);
y = filt(p,4);
I also have some reservations with your code. It doesn't do what you think it's doing. Specifically, I'm looking at this section:
n=1;
for v = x(:)
temp(n) = v(n);
if(n <= N-1)
y(n) = max(x);
n = n+1;
elseif(n >= N-1)
y(n) = max(temp);
end
end
Doing v = x(:) would produce a column vector, and using a loop with a column vector will have unintentional results. Specifically, this loop will only execute once, with v being the entire signal. You also aren't checking the conditions properly for each window. You are doing max(x), which applies the maximum to the entire signal, and not the window.
If I can suggest a rewrite, this is what you should be doing instead:
function y = filt( x, N )
% filter function
if(~isvector(x))
error('Input must be a vector')
end
y = zeros(1,length(x));
%///// CHANGE
for n = 1 : numel(x)
if (n <= N)
y(n) = max(x(1:n));
else
y(n) = max(x(n:-1:n-N+1));
end
end
end
Take note that the if statement is n <= N. This is because in MATLAB, we start indexing at 1, but the notation in your equation starts indexing at 0. Therefore, instead of checking for n <= N-1, it must now be n <= N.

How to avoid nested for loops in Matlab for better cpu time

I should calculate this formula for large value of p, so 4 nested loops made my code very slow and inapplicable. I will so thankful if anyone can help me for better implementation with use of sum and other suitable matlab commands!
K(i,j)=sum(sum(a(m)*b(n)*A(i,j,m,n),m=1:p),n=1:p);
i,j,m,n ->1:p
and A is 4D Matrix and a,b are vector.
Thank.
I can get rid of 2 of the for loops. Perhaps one of the MATLAB wizards on this site can do better.
p = 3;
A = rand(p, p, p, p)
a = rand(p, 1)
b = rand(p, 1)
% I think your original code does something like this.
K1 = zeros(p, p);
for n = 1: p
for m = 1: p
for j = 1: p
for i = 1: p
K1(i, j) = K1(i, j) + a(m) * b(n) * A(i, j, m, n);
end
end
end
end
K1
% This gives the same result, with half the loops.
K2 = zeros(p, p);
for n = 1: p
for m = 1: p
K2 = K2 + a(m) * b(n) * A(:,:,m,n);
end
end
K2
% Verify that the two answers are the same.
all(K1(:) == K2(:))