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up vote 3 down vote favorite

I have trouble with for loop, my code runs very slowly. The thing I want to do is to use function from apply family to make my codes run faster (instead of using for loopand while). Here is an example and my loop:

require(data.table)
require(zoo)

K<-seq(1,1000, by=1)
b<-c(rep(2,250), rep(3, 250), rep(4, 250), rep(5,250))
a<-c(rep(6,250), rep(7,250), rep(8,250), rep(9,250))
rf<-rep(0.05, 1000)
L<-rep(10,1000)
cap<-rep(20,1000)
df<-data.frame(K, rf, L, cap, a,b)
blackscholes <- function(S, X, rf, h, sigma) {
    d1 <- (log(S/X)+(rf+sigma^2/2)*h)/sigma*sqrt(h)
}
df$logiterK<-log(df$K)
df<-as.data.table(df)
df[,rollsd:=rollapply(logret, 250, sd, fill = NA, align='right')*sqrt(250), by=c("a", "b")]
df[,assetreturn:=c(NA,diff(logiterK)),by=c("a", "b")] 
df[,rollsdasset:=rollapply(assetreturn, 249, sd, fill=NA, align='right')*sqrt(250), by=c("a", "b")]
df[,K1:=(cap+L*exp(-rf)*pnorm(blackscholes(K,L,rf, 1,rollsdasset[250]))-rollsdasset[250])/pnorm(blackscholes(K,L,rf, 1,rollsdasset[250])),by=c("a","b")] 

errors<-ddply( df, .(a,b), function(x) sum((x$K-x$K1)^2))
df<-as.data.frame(df)
df<-join(df, errors, by=c("a", "b"))
for ( i in 1:nrow(errors)){
    while(errors$V1[i] >= 10^(-10)) {
        df<-as.data.table(df)
        df[,K:= K1,by=c("a", "b")] 
        df[,assetreturn:=c(NA,diff(log(K))),by=c("a", "b")] 
        df[,rollsdasset:=rollapply(assetreturn, 249, sd, fill=NA, align='right')*sqrt(250), by=c("a", "b")]
        df[,iterK1:=(cap+L*exp(-rf)*pnorm(blackscholes(K,L,rf, 1,rollsdasset[250]))-rollsdasset[250])/pnorm(blackscholes(K,L,rf, 1,rollsdasset[250])) ,by=c("a", "b")]
        df<-as.data.frame(df)
        errors$V1[i]<-sum((df[df$V1 %in% errors$V1[i],"K"]-df[df$V1 %in% errors$V1[i],"K1"])^2)
        }
    }

Any help would be appreciated.

share|improve this question
    
I am unable to run the code because an object logret is not found. Is it a function? Could you please specify the package at the beginning? I have added loading of data.table and zoo. –  djhurio May 9 '14 at 5:15
1  
The applyfamily of functions all implement a for loop. They are not faster, just give you more ways to write for loops in a concise manner. –  flodel May 10 '14 at 11:27
2  
The constant switching from data.frame to data.table might be where you waste a lot of time. Try converting to a data.table once and for all and stick to it. –  flodel May 10 '14 at 11:39
    
Thanks a lot for suggestion, you are right –  user3618375 May 10 '14 at 12:41

1 Answer 1

up vote 2 down vote accepted

You could replace the for loop with a function + sapply like this:

reduce.errors <- function(err) {
  while (err >= 10^(-10)) {
    df<-as.data.table(df)
    df[,K:= K1,by=c("a", "b")] 
    df[,assetreturn:=c(NA,diff(log(K))),by=c("a", "b")] 
    df[,rollsdasset:=rollapply(assetreturn, 249, sd, fill=NA, align='right')*sqrt(250), by=c("a", "b")]
    df[,iterK1:=(cap+L*exp(-rf)*pnorm(blackscholes(K,L,rf, 1,rollsdasset[250]))-rollsdasset[250])/pnorm(blackscholes(K,L,rf, 1,rollsdasset[250])) ,by=c("a", "b")]
    df<-as.data.frame(df)
    err <- sum((df[df$V1 %in% err,"K"]-df[df$V1 %in% err,"K1"])^2)
  }  
}
sapply(errors$V1, reduce.errors)

But I don't think this will make it faster at all. If I understand correctly you need the while loop there to reduce the error below a threshold, and so you need the iteration and this cannot be replaced with the "apply" functions easily.

If you want to improve the speed, I think you'll need to rethink come up with a different approach, if it's even possible.

share|improve this answer
    
Thanks a lot for help –  user3618375 May 10 '14 at 12:41

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