2016 Excel/VBA Notes
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The document presents an Excel VBA algorithm application course, focusing on modeling and algorithm techniques used for financial analysis. It covers various topics such as downloading financial data, utilizing advanced Excel functions, implementing statistical functions, and programming VBA syntax for problem-solving. The content aims to equip participants with practical skills for financial modeling, including the Black-Scholes model and Monte Carlo simulations.
2016 Excel/VBA Notes
- 1. 1/27 Prequel Excel VBA Algorithm Application What’s next? Excel - Modeling and Algorithm MFE Preparatory Course 2016 Dr. Yang Ye Nanyang Business School June 2016 [email protected] Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 2/27 Prequel Excel VBA Algorithm Application What’s next? Outline Prequel Excel VBA Algorithm Application What’s next? Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 3/27 Prequel Excel VBA Algorithm Application What’s next? 1. Download GDP and benchmark interest rate for G7 2. Download stock prices from Yahoo finance. G7 Canada France Germany Italy Japan United Kingdom United States ? ECB BOJ FED BOE BOC Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 4/27 Prequel Excel VBA Algorithm Application What’s next? Some Adv. Function INDIRECT INDIRECT(“C3”) INDIRECT(“C”& “3”) OFFSET & $ and VLOOKUP RANK and LARGE Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm
- 2. 5/27 Prequel Excel VBA Algorithm Application What’s next? Statistics Functions AVERAGE() VAR() VAR.P() STDEV.P() STDEV.S() SKEW() KURT() Volatility = Stdev.p(return) Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 6/27 Prequel Excel VBA Algorithm Application What’s next? Solver Figure: Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 7/27 Prequel Excel VBA Algorithm Application What’s next? Bond YTM BondPrice = Cashflow1 (1+yield)1 + Cashflow2 (1+yield)2 + ... + LastCashflow (1+yield)n BondPrice = Cashflow ∗ 1−( 1 (1+yield)n ) yield + MaturityValue ∗ 1 (1+yield)n How to calculate bond price from YTM? How to calculate YTM from bond price? Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 8/27 Prequel Excel VBA Algorithm Application What’s next? Range and Matrix Operation Define a range for single or rectangular area =matNew1 CTRL+SHIFT+ENTER: Apply array operations =IF(D1:F3>0,SQRT(D1:F3),0) Matrix functions MMULT TRANSPOSE Use cholesky decomposition M = 1 ρ ρ 1 Mc = 1 0 ρ sqrt(1 − ρ2 ) Test Mc Mc t Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm
- 3. 9/27 Prequel Excel VBA Algorithm Application What’s next? Generate Random Numbers Generate random number with normal distribution =RAND() =NORMSINV(RAND()) Generate correlated random numbers r1 r2 c1 c2 c3 c4 = q1 q2 Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 10/27 Prequel Excel VBA Algorithm Application What’s next? Syntax VBA Syntax Declaration Condition Loop Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 11/27 Prequel Excel VBA Algorithm Application What’s next? Declare ' This is a comment Option Explicit ' make it required Option Base 0 ' Array index starts from 0 Dim a As Integer a = 1 a = "1.1" Debug.Print a Dim b As Double b = 1.1 Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 12/27 Prequel Excel VBA Algorithm Application What’s next? Declare Array Dim c1(10) As Double c1(0) = 1 Dim c2(10, 10) As Double c2(4, 6) = 1 Dim mat2() As Double ReDim mat2(2) mat2(0) = 1 mat2(1) = 2 mat2(2) = 3 ReDim Preserve mat2(3) 'Keep the data Function assignment()Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm
- 4. 13/27 Prequel Excel VBA Algorithm Application What’s next? Condition Dim balance As Integer balance = 100 If balance > 100 Then Debug.Print ">100" If balance > 100 Then Debug.Print ">100" ElseIf balance > 50 Then Debug.Print ">50" Else Debug.Print "<50" End If Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 14/27 Prequel Excel VBA Algorithm Application What’s next? For Loop Dim i As Integer, j As Integer For i = 1 To 10 'Step 1 Debug.Print i Next For i = 1 To 10 Step 2 Debug.Print i Next For i = 1 To 3 For j = 5 To 1 Step -1 Debug.Print i & " " & j Next Next Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 15/27 Prequel Excel VBA Algorithm Application What’s next? For Loop - 2 Dim mat(2, 2) As Double For i = 0 To 2 For j = 0 To 2 mat(i, j) = i + j Next Next Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 16/27 Prequel Excel VBA Algorithm Application What’s next? While Loop Dim i As Integer, sum As Integer i = 1 sum = 0 While i <= 10 sum = sum + i i = i + 1 Wend i = 1 sum = 0 Do While i <= 10 sum = sum + i i = i + 1 Loop Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm
- 5. 17/27 Prequel Excel VBA Algorithm Application What’s next? Putting things together What does this do? Rnd -1 Randomize 5 Dim pf(1 To 10) As Double, i As Integer, sum As Double For i = 1 To 10 pf(i) = Rnd Next i = 1 sum = 0 Do While i <= 10 sum = sum + pf(i) If sum > 2 Then Exit Do End If i = i + 1 Loop Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 18/27 Prequel Excel VBA Algorithm Application What’s next? Sub/Function Sub and Function differ in that Sub doesn’t return a value. Function Afunction(Input1 As String, Input2 as Integer) as Integer ... Afunction = 3 End Function Sub Afunction(Input1 As String, Input2 as Integer) ... End Sub Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 19/27 Prequel Excel VBA Algorithm Application What’s next? Algorithm - Problem and Solution Problem: is to convert between column name to column number. A: 1 B: 2 ... Z: 26 AA: ? ... AZ: ? ?: ? Solution: ? Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 20/27 Prequel Excel VBA Algorithm Application What’s next? Column Number Conversion - ToColumnNumber Function ToColumnNumber(ColumnName As String) As Integer Dim A_Code As Integer, length As Integer, i As Integer If Len(ColumnName) = 0 Then ToColumnNumber = 0 Exit Function End If A_Code = Asc("A") - 1 length = Len(ColumnName) ToColumnNumber = 0 For i = 1 To length Dim last_char As String Dim char_value As Integer last_char = Mid(ColumnName, length - i + 1, 1) char_value = Asc(last_char) - A_Code ToColumnNumber = ToColumnNumber + _ (char_value) * (26 ^ (i - 1)) Next End Function Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm
- 6. 21/27 Prequel Excel VBA Algorithm Application What’s next? Column Number Conversion - ToColumnName Function ToColumnName(ByVal ColumnNumber As Integer) As String Dim t As Integer Dim A_Code As Integer A_Code = Asc("A") - 1 ToColumnName = "" If ColumnNumber > 26 Then Do While ColumnNumber / 26 > 0 And ColumnNumber > 0 Dim first_value As Integer Dim first_char As String first_value = A_Code + ColumnNumber Mod 26 first_char = Chr(first_value) ToColumnName = first_char & ToColumnName ColumnNumber = ColumnNumber / 26 Loop Else ToColumnName = Chr(A_Code + ColumnNumber) End If End Function Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 22/27 Prequel Excel VBA Algorithm Application What’s next? GBM: Geometric Brownian Motion Definitions S: Stock price K: Strike price of option r: Risk-free rate of return T: Time to Expiration in years σ: Volatility Geometric Brownian motion dSt = rStdt + σStdWt Call Option payoff: max(ST − K, 0) Put Option payoff: max(0, K − ST ) Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 23/27 Prequel Excel VBA Algorithm Application What’s next? Solving the GBM - Black-Scholes Model Black-Scholes Model - Making assumptions so we can solve the equation Call option: c = N(d1) S − N(d2) Ke−rT Put Option: p = −N(−d2) Ke−rT − N(−d1) S d1 = ln(S/K)+(r+ σ2 2 )T σ √ T , d2 = d1 − σ √ T N(x): Cumulative normal distribution function Excel: NORMSDIST(z): = NORM.S.DIST(z,TRUE) NORMSINV: opposite to NORMSDIST d 1 =(LN(Stock/Strike)+(drift+sigmaˆ2/2)*Time)/(sigma*SQRT(Time)) d 2 =d 1-B7*SQRT(Time) Call =spot*NORMSDIST(d 1)-strike*EXP(- drift*maturity)*NORMSDIST(d 2) Put =strike*EXP(-drift*maturity)*NORMSDIST(-d 2)- spot*NORMSDIST(-d 1) Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 24/27 Prequel Excel VBA Algorithm Application What’s next? Monte Carlo Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm
- 7. 25/27 Prequel Excel VBA Algorithm Application What’s next? GBM MC From GBM, dSt = rStdt + σStdWt, St = S0e (r−σ2 2 )t+σWt Apply numerical method, St = S0exp (r − σ2 2 )∆t + σ √ ∆tz , z is the random number We calculate St for every time step ∆t to reach maturity T. Apply the payoff function to get the value of the option, discounted to current t = 0. For call, V = e−rT max(ST − strike, 0) For put, V = e−rT max(0, strike − ST ) Average of all V1, V2...Vn is the value of the option. Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 26/27 Prequel Excel VBA Algorithm Application What’s next? VBA Define Payoff function =IF(type="call",MAX(F286-strike,0)*EXP(-drift*maturity) ,MAX(0,strike-F286)*EXP(-drift*maturity)) Define loop Option Explicit Sub MonteCarloMAcro() Application.ScreenUpdating = False Dim i As Long, iterations As Long Dim CallTotal As Double, CallAvg As Double, PutTotal As Double, PutAvg As Double CallTotal = 0 CallAvg = 0 PutTotal = 0 PutAvg = 0 iterations = Range("MCIteration").Value Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 27/27 Prequel Excel VBA Algorithm Application What’s next? VBA - Loop Con’t For i = 1 To iterations Calculate CallTotal = CallTotal + Range("CallValue").Value PutTotal = PutTotal + Range("PutValue").Value Next i CallAvg = CallTotal / i PutAvg = PutTotal / i Debug.Print "Call: " & CallAvg Debug.Print "Put: " & PutAvg Application.ScreenUpdating = True End Sub Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm 27/27 Prequel Excel VBA Algorithm Application What’s next? What’s next? Try R: http://tryr.codeschool.com/ Must try Dr. Yang Ye Nanyang Business School Excel - Modeling and Algorithm