Re: Compile

*To*: mathgroup at smc.vnet.net*Subject*: [mg48353] Re: Compile*From*: "John" <john34 at sepei.com>*Date*: Tue, 25 May 2004 07:17:23 -0400 (EDT)*References*: <200405220704.DAA08873@smc.vnet.net> <c8pu67$kqv$1@smc.vnet.net>*Sender*: owner-wri-mathgroup at wolfram.com

Hi Andrzej, Thanx a lot for you guidance,in particular for mentioning the post concerning random, I think i ll have to dig deeper into mathematica programming. Greetings John "Andrzej Kozlowski" <akoz at mimuw.edu.pl> schrieb im Newsbeitrag news:c8pu67$kqv$1 at smc.vnet.net... > I wonder how you managed to get an error about > Random[NormalDistribution[0,1]], since there are errors in you code > that should stop you ever getting to that point. First of all you have > the a right square bracket in the wrong place, I mean the last one > below: > > > MCCall=Compile[{{S, K, T, r, div, sig},{M, _Integer},{ N, _Integer}}] > > secondly, the syntax {S, K, T, r, div, sig} is quite wrong (look at the > help for Compile), thirdly you need to load the > Statistics`NormalDistribution` package, fourthly, in any case your > function is very unlikely to compile well, if at all, so that it will > probably be no faster than without compiling. You will do much better > to re-write your code in a functional way, using Nest instead of For > (For is very inefficient in Mathematica), that alone will give you a > substantial speed up. Finally, you might want to have a look at my > posting with the subject "strange problems with Random" , otherwise > you might be surprised that your answers turn out not to be very > accurate. > > Andrzej Kozlowski > > > On 22 May 2004, at 16:04, John wrote: > > > Hi, > > > > i am new to mathematica, i have written a monte carlo simulation for an > > option, I wanted to compile the function, but i just get errors > > concerning > > the Random[NormalDistribution[0,1]] function, could anybody help, > > thats the > > code: > > > > MCCall=Compile[{{S, K, T, r, div, sig},{M, _Integer},{ N, _Integer}}], > > Module[{dt, nudt, sigsdt, lns, sumct, i, j, lnst, st, ct}, > > dt = T/N; > > nudt = (r - div - 0.5*sig^2)*dt; > > sigsdt = sig*Sqrt[dt]; > > lns = Log[S]; > > sumct = 0; > > i = 1; > > j = 1; > > a = {}; > > For[i = 1, i < M, > > lnst = lns; > > For[j = 1, j < N, > > lnst = lnst + nudt + sigsdt*Random[NormalDistribution[0, 1]]; j++]; > > st = Exp[lnst]; > > ct = Max[0, (st - K)]; > > sumct = sumct + ct; > > a = Append[a, sumct/(i*Exp[-r*T])]; i++]; > > sumct/(M*Exp[-r*T])]]; > > > > TIA John > > >

**References**:**Compile***From:*"John" <john34@sepei.com>