fmincon error nonlcon must be a function

I get the following error when using fmincon:

    NONLCON must be a function.
    Error in fmincon (line 409)
    confcn = optimfcnchk(NONLCON,'fmincon',length(varargin),funValCheck,flags.gradconst,false,true);

This is the code I am using:

    nAssets = size(ExpCovariance,2);

    %Constraints and data for fmincon
        options = optimoptions(@fmincon,'Algorithm','interior-point');
        nFrontierPts = 20;
        pWts = zeros(nFrontierPts, nAssets);
        pExitFlag = zeros(nFrontierPts, 1);
        StaticFXhedgeReturns = AssetReturns(t-59:t,1)+AssetReturns(t-59:t,2:7)*exp1';
        StaticVol5y          = std(StaticFXhedgeReturns)*sqrt(12);
        StaticTE5y          = std(AssetReturns(t-59:t,2:7)*exp1')*sqrt(12);
        teCap=StaticTE5y;
        covMat=cov(equRet(t-2-59:t-2),AssetReturns(t-59:t,2:7)*exp1')*12; %Covariance of exposure resulting from country specific hedging with equities
        covCap=covMat(1,2);
        iniWt = ones(1,nAssets).*(1/nAssets); 
        Aud6040ret = AssetReturns(t-x-59:t-x,1);
        FXret_1 = AssetReturns(t-x-59:t-x,2:7);
        equRet_1 = equRet(t-59-2:t-2);

    %min variance portfolio
        minVarWts = fmincon(@(pWts) -pWts*ExpCovariance'*pWts', iniWt, [], [], [], [],...
        LowerBound', UpperBound',nonlconFr(pWts,StaticVol5y,teCap,Aud6040ret,FXret_1,equRet_1,covCap), options);

and this is the nonlcon function I am using:

    function [c, ceq] = nonlconFr(w,volcap,teCap,Aud6040ret,FXret,equRet,covCap)
    % nonlcon1: add TE constraint
    % nonlcon2: add equity beta/correlation constraint 
    w = w(2:7)';  %Need extra line for frontier code
    ret_w = Aud6040ret+FXret*w;
    covMat=cov(equRet,FXret*w)*12;

    %Inequality Constraints (Less than zero)
    c(1)      = std(ret_w)*sqrt(12) - volcap; %Vol to be less than 60/40 with country specific hedging strategy
    c(2) = std(FXret*w)*sqrt(12) - teCap; %Tracking error to exogenous 60/40 asset allocation constraint
    c(3) = covMat(1,2) - covCap; %Covariance of FX overlay to be less than covariance of FX exposure resulting from benchmark hedging strategy

    %Equality Constraint 
    ceq = [];   
    end

I'm not sure what I've done wrong! Thanks!

Answer 1

[Walter Roberson]

In your fmincon call start that parameter with @(pWts)

The @(pWts) you have for the first parameter to fmincon only applies to the first parameter.