Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | Rohit Sonika <net@rsonika.me> |
To | Statalist <statalist@hsphsun2.harvard.edu> |
Subject | st: Solving simultaneous equations |
Date | Fri, 3 May 2013 15:13:28 +0100 |
Hi, I have never programmed in Stata, so I am reaching out to the community for some help. Here is my problem: I have two equations, with two unknowns as follows: 1. price = val - (a/b)*(val*normal(price/strike) - strike*normal(price/strike)) 2. sd = vol * (val/price) * (1-(a/b)*strike*normal(price/strike)) The two unknowns in the above equations are 'val' and 'vol' while the other variables are observed. I am taking a numerical approach to trying to solve for above equations. Since, I create a dataset and declare variables as follows: set obs 10000 gen double price = (100-1)*runiform()+1 gen double strike = (100-1)*runiform()+1 gen rate = 0.0025*int(60*runiform()) gen double b = 100 gen double a = (0.15-0.0001)*runiform()*n gen double sd = (0.30-0.05)*runiform()+0.05 The program I created to populate values of 'val' and 'vol' is as follows: program nlwar syntax varlist(min=1 max=1) [if], at(name) tempname val vol scalar `val' = `at'[1,1] scalar `vol' = `at'[1,2] tempvar abc gen double `abc' = `val' - (a/b)*(`val'*normal(`val'/strike * `vol') - strike*normal(`val'/strike)) - price + 1 in 1 replace `abc' = (`vol'/sd) * (`val'/price) * (1-(a/b)*strike*normal(`val'/strike)) - 1 in 2 replace `varlist' = `abc' end gen y = 0 replace y = 1 in 1 nl war @ y, parameters(val vol) initial(val 1 vol 1) When I run the above program, Stata gives me an error stating 'verify that nlwar is a function evaluator program'. Any help on this query would be appreciated. I am using Stata version 12. Thanks! Rohit * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/