Undefined function or variable 'VanDerCorput'

This is my script :

%Function computing the value at risk of a
 %portfolio composed of two bonds.
 NbTraj= 1000000; %Number of simulations.
 p= 0.5;          %Weight for each bond.
 alpha= 0.99;     %Confidence level
 %Identification of our data file
 fid=fopen('SpotRates.txt','rt');
 %Reading of the data from file SpotRates.txt
 Data=fscanf(fid, '%f %f %f %f %f %f %f %f %f');
 %Closing of source file.
 fclose(fid);
 %Partition of data into date and different rates
 M1=Data(1:9:size(Data));   %spot rate 1 month
 M3=Data(2:9:size(Data));   %spot rate 3 months
 M6=Data(3:9:size(Data));   %spot rate 6 months
 Y1=Data(4:9:size(Data));    %spot rate 1 year
 Y2=Data(5:9:size(Data));    %spot rate 2 years
 Y3=Data(6:9:size(Data));    %spot rate 3 years
 Y5=Data(7:9:size(Data));    %spot rate 5 years
 Y10=Data(8:9:size(Data));  %spot rate 10 years
 Y30=Data(9:9:size(Data));  %spot rate 30 years
 %Matrix of rates
 Data1=[M1,M3,M6,Y1,Y2,Y3,Y5,Y10,Y30];
 %Initial rates
 ActualRates=Data1(size(Data1,1),:);
 %Normalization of rates
 for i=1:9
    Average(i)=mean(Data1(:,i));
    Deviation(i)=std(Data1(:,i));
    Data1(:,i)=(Data1(:,i)-Average(i))/Deviation(i);
 end
 %The standard deviation for a one month period.
 %We want a value at risk for 10 days and we divide by
 %sqrt(3) since 1 month = 3*10 days.
 Deviation=Deviation/sqrt(3);
 %Eigenvectors and eigenvalues of the covariance matrix
 %Vector -Vi can also be returned by function
 %eigs if Vi is an eigenvector.
 [V,E]=eigs(cov(Data1),3);
 %Components determination.
 PC1=V(:,1);
 PC2=V(:,2);
 PC3=V(:,3);
 %Graph of the principal components.
 plot([1:1:9],sqrt(E(1,1))*PC1,'r',[1:1:9],sqrt(E(2,2))*PC2,'b',...
      [1:1:9],sqrt(E(3,3))*PC3,'m');
 Weight1=p;
 Weight2=1-Weight1;
 %Initial parameters
 CouponRate1=0.06;
 FaceValue1=1000;
 CouponRate2=0.08;
 FaceValue2=1000;
 coupon1=CouponRate1*FaceValue1;
 coupon2=CouponRate2*FaceValue2;
 %Vectors for quasi random variables
 u1=zeros(NbTraj,1);
 u2=zeros(NbTraj,1);
 %Simulation of quasi random numbers
 for l=1:NbTraj
    u1(l)=norminv(VanDerCorput(l,3));
    u2(l)=norminv(VanDerCorput(l,5));
 end
 %Spot rates matrix
 Rates=zeros(9,NbTraj);
 %Loop generating the interest rates
 for j=1:NbTraj
    for i=1:9
         %Computation of rates. We multiply by the sign of the first
         %element of the components to fix them positively. This will allow
         %us to replicate perfectly our results if needed.
         Rates(i,j)=ActualRates(1,i)+...
          Deviation(i)*(sqrt(E(1,1))*u1(j,1)*V(i,1)*sign(V(1,1))+...
          sqrt(E(2,2))*u2(j,1)*V(i,2)*sign(V(1,2)));
    end
 end
 %Spot rates initial values
 M6=ActualRates(1,3);   %spot rate 6 months
 Y1=ActualRates(1,4) ;  %spot rate 1 year
 Y2=ActualRates(1,5);   %spot rate 2 years
 Y3=ActualRates(1,6);   %spot rate 3 years
 Y5=ActualRates(1,7);   %spot rate 5 years
 %Linear interpolation
 Y1_5=(Y1+Y2)/2;        %spot rate 1.5 years
 Y2_5=(Y2+Y3)/2;        %spot rate 2.5 years
 Y3_5=(3*Y3+Y5)/4;      %spot rate 3.5 years
 Y4=(Y3+Y5)/2;          %spot rate 4 years
 Y4_5=(3*Y5+Y3)/4;      %spot rate 4.5 years
 %Determination of initial bonds' prices.
 price1=(coupon1/2)/(1+(M6/100))^(1/2)+(coupon1/2)/(1+(Y1/100))^1+...
      (coupon1/2)/(1+(Y1_5/100))^(3/2)+(coupon1/2)/(1+(Y2/100))^2+...
      (FaceValue1+(coupon1/2))/(1+(Y2_5/100))^(5/2);
 price2=(coupon2/2)/(1+(M6/100))^(1/2)+(coupon2/2)/(1+(Y1/100))^1+...
      (coupon2/2)/(1+(Y1_5/100))^(3/2)+(coupon2/2)/(1+(Y2/100))^2+...
      (coupon2/2)/(1+(Y2_5/100))^(5/2)+(coupon2/2)/(1+(Y3/100))^3+...
      (coupon2/2)/(1+(Y3_5/100))^(7/2)+(coupon2/2)/(1+(Y4/100))^4+...
      (coupon2/2)/(1+(Y4_5/100))^(9/2)+...
      (FaceValue2+(coupon2/2))/(1+(Y5/100))^5;
 %Portfolio's initial price.
 InitialPrice=Weight1*price1+Weight2*price2;
 %Loop computing the possible evolution of the portfolio's price.
 for k=1:NbTraj
    M6=Rates(3,k);    %Spot rate 6 months
    Y1=Rates(4,k);    %Spot rate 1 year
    Y2=Rates(5,k);    %Spot rate 2 years
    Y3=Rates(6,k);    %Spot rate 3 years
    Y5=Rates(7,k);    %Spot rate 5 years
    Y1_5=(Y1+Y2)/2;       %Spot rate 1.5 years
    Y2_5=(Y2+Y3)/2;       %Spot rate 2.5 years
    Y3_5=(3*Y3+Y5)/4;     %Spot rate 3.5 years
    Y4=(Y3+Y5)/2;         %Spot rate 4 years
    Y4_5=(3*Y5+Y3)/4;     %Spot rate 4.5 years
    %Valuation of two different bonds
    price1=(coupon1/2)/(1+(M6/100))^(1/2)+(coupon1/2)/(1+(Y1/100))^1+...
          (coupon1/2)/(1+(Y1_5/100))^(3/2)+(coupon1/2)/(1+(Y2/100))^2+...
          (FaceValue1+(coupon1/2))/(1+(Y2_5/100))^(5/2);
    price2=(coupon2/2)/(1+(M6/100))^(1/2)+(coupon2/2)/(1+(Y1/100))^1+...
          (coupon2/2)/(1+(Y1_5/100))^(3/2)+(coupon2/2)/(1+(Y2/100))^2+...
          (coupon2/2)/(1+(Y2_5/100))^(5/2)+(coupon2/2)/(1+(Y3/100))^3+...
          (coupon2/2)/(1+(Y3_5/100))^(7/2)+(coupon2/2)/(1+(Y4/100))^4+...
          (coupon2/2)/(1+(Y4_5/100))^(9/2)+...
          (FaceValue2+(coupon2/2))/(1+(Y5/100))^5;
 %Computation of the portfolio's price for this scenario
 PortfolioPrice=Weight1*price1+Weight2*price2;
 vectPrice(k,1)= PortfolioPrice;
 end
 %Sorting the prices and VaR computation.
 vectPrice=sort(vectPrice);
 VaR=(InitialPrice-vectPrice(floor(alpha/100*NbTraj)));
 end

and then the result was : "Undefined function or variable 'VanDerCorput'" why?anyone help please

Answer 1

[Stephen23]

Have a look at these lines:

 for l=1:NbTraj
    u1(l)=norminv(VanDerCorput(l,3));
    u2(l)=norminv(VanDerCorput(l,5));
 end

You refer to VanDerCorput twice. This is not an inbuilt MATLAB function. If it does not exist (e.g. you defined this variable, or you wrote the function, or saved a third-party function), then of course MATLAB will not be able to find it. Thus the error.

[Gerenimo]

i define vandercorput with :

 function rep=VanDerCorput(n,b)
 %Function generating the Van Der Corput sequence to build Halton sequence.
 n:  10  %Index of the sequence of elements.
 b:  10  %Basis for decomposition.
 bn=0;
 j=0;
 while n~=0
    bn=bn+mod(n,b)/b^(j+1);
    n=floor(n/b);
    j=j+1;
 end
 rep=bn;
 end

but still the answer was Undefined function or variable 'VanDerCorput'.

[Stephen23]

You need to make sure that the function Mfile is on your MATLAB path. This could be in the same directory, or any directory shown on the path.

Is the function VanDerCorput in its own Mfile or is it defined as a local function? What is its Mfile called?

[Walter Roberson]

Did you store that code in VanDerCorput.m and put it somewhere on the MATLAB path?

[Gerenimo]

Thanks for your help ,i change current folder to folder where i put vandercorput.m file