Index exceeds array bounds error

Dear all,

I wrote this simple code:

%input data
SP=[exp(-(0.01*0.5)/(1-0)); exp(-(0.01*1)/(1-0))]; 
m=3; 
k=2;
b=0.01;
dt=0.5;
w=[100 200 300; 100 300 400];
a0=[0 0];                     % guess per fsolve
fun=@(a) (get_survivalprobability(a,b,w,dt,m,k)-SP); 
[a] = fsolve(fun,a0);        % find f(a)=0 ; 
for i=1:k                    % find hazard rates with the new parameters a
   for j=1:m
     h(i,j)=exp(a(i)+b*w(i,j))
    end
end

whose main function that I implemented is:

function [SP_Simulation]=get_survivalprobability(a,b,w,dt,m,k)
 for i=1:k
 for j=1:m            
   hzrd(i,j)=exp(a(i)+b*w(i,j)) ;
  end
end
h1=hzrd(1,:) ;
SP1=(sum(exp(h1*-dt)))/m ;         % find a for the first row vector
for i=1:k-1
 h=(hzrd(i,:)+hzrd(i+1,:))*-dt;    
 SP_others=sum(exp(h),2)/m ;
 SP_Simulation=[SP1;SP_others];
end
end

For the previous example, where " w " is a matrix 2x3 , everything works. However, when I want to implement this function for a different input matrix data " w " of dimension 253x100 , the following error displays:

" Index exceeds array bounds. Error in get_survivalprobability (line 6)

hzrd(i,j)=exp(a(i)+b*w(i,j)) ; "

Does anyone know how can I fix it, please?

Thank you in advance.

Regards,

Martina

[Adam Danz]

When I use your code but exchange w with a 253x100 matrix, there is no error.

w = randi(500,253,100)

Answer 1

[KALYAN ACHARJYA]

Yes no error with

w=rand(253,100);

Check:

>> whos w
  Name        Size              Bytes  Class     Attributes

  w         253x100            202400  double   

[KALYAN ACHARJYA]

Equation solved.
fsolve completed because the vector of function values is near zero
as measured by the default value of the function tolerance, and
the problem appears regular as measured by the gradient.
<stopping criteria details>
h =
    0.0100
h =
    0.0100    0.0100
h =
    0.0100    0.0100    0.0100
h =
    0.0100    0.0100    0.0100
    0.0100         0         0
h =
    0.0100    0.0100    0.0100
    0.0100    0.0100         0
h =
    0.0100    0.0100    0.0100
    0.0100    0.0100    0.0100

[KALYAN ACHARJYA]

Second case, I dont expect any error in this case, as you defind

k=2;
m=3;
for i=1:k
for j=1:m            
   hzrd(i,j)=exp(a(i)+b*w(i,j)) ;
end
....

i iterate from 1 to 2 and j iterate 1 to 3, so the w elements are there with those indices.

[Martina Della Monica]

Thank you for your quick and detailed answer.

I have already check with rand(253,100) before writing there, because I was thought that my code was wrong.

Sorry if I bother you again, but I really don't understand why it shows me this kind of error.

The code where I am extrapolating " w " is the following:

S_0= 1.91;

Maturity=1;

sigma_annual=0.15;

r=0.02;

sigma_daily=sigma_annual/sqrt(252);

mu_daily= (r-sigma_daily^2)/0.5;

npaths= 100 ;

nsteps=252;

dt=Maturity/252 ;

t=(0:nsteps)'*dt;

Z=randn(nsteps,npaths);

Weiner= [zeros(1,npaths); cumsum(Z).*sqrt(dt)] ;

S_t= bsxfun(@plus, (mu_daily-0.5*sigma_daily.^2).*t, sigma_daily*Weiner);

S_t=S_0*exp(S_t) ;

F_0= S_0*exp(r*Maturity) ; %forward price at time

w =(S_t - F_0*exp(-r*(Maturity-t))); % forward contract value

SP=repmat(0.995,1,253)

b=0.01;

dt=0.5;

m=npaths;

k=nsteps+1

a0=[0 0]; % guess per fsolve

fun=@(a) (get_survivalprobability(a,b,w,dt,m,k)-SP);

[a] = fsolve(fun,a0);

for i=1:k

for j=1:m

h(i,j)=exp(a(i)+b*w(i,j))

end

end

Could you try with these new values and check if it shows the same error, please?

Thank you in advance again, I will really appreciate your help.