Vectorial bisection method varying parameters from one function.

Searches the interval for a root (i.e., zero) of the function func_ with respect to its first argument. Other arguments may be vectorial, so multiroot will return a vector with roots.

Usage

multiroot(
  func_,
  interval,
  ...,
  tolerance = .Machine$double.eps,
  maxiter = 100,
  check = function(...) any(..., na.rm = TRUE)
)

Arguments

func_

objective function for root finding.

interval

a vector containing the end-points of the interval to be searched for all the roots.

...

additional named or unnamed arguments to be passed to func_, may be vectorial, and this is the difference between multiroot and uniroot.

tolerance

the desired accuracy (convergence tolerance).

maxiter

the maximum number of iterations.

check

function for checking convergence in any or all of the roots. Since it is bisection method, they are the same.

Value

Vector with roots.

Details

multiroot was created aiming implied volatility calculation for several options.

See also

uniroot for R built-in one dimensional root finding.

Examples

f <- function(x, y) x - y
multiroot(f, c(-3, 10), 1:3)
#> root: 1 2 3 
#> iter: 55 
#> err: 0 0 0 
g <- function(sigma, premium, type, spot, strike, time, rate, yield) {
  bsmprice(type, spot, strike, time, rate, yield, sigma) - premium
}
multiroot(g, c(1e-8, 10), 5, "call", 30, 31, c(1, 1.1, 1.2, 1.3), 0.15, 0)
#> root: 0.2716932 0.2347013 0.1981046 0.1590767 
#> iter: 100 
#> err: -3.552714e-15 -3.552714e-15 -3.552714e-15 0