Hi all,
This is my first attempt at RExcel VBA, and I'd like to hear your advice to
improve my code.
I'm trying to write two VBA functions to value plain vanilla options (calls,
puts) with a) the Cox-Ross-Rubinstein binomial model and b) the Generalized
Black-Scholes model. The fOptions package has such R functions:
CRRBinomialTreeOption() and GBSOption(), respectively.
So I came up with the following VBA code:
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Function CRR(TypeFlag As String, S As String, Strike As String, T As String,
r As String, CostOfCarry As String, sigma As String, n As String) As Double
Dim Instruction As String
Instruction = "x <- CRRBinomialTreeOption(TypeFlag = """ & TypeFlag _
& """, S=" & rnumber(S) & ", X = " & rnumber(Strike) & ", Time = " &
rnumber(T) _
& ", r=" & rnumber(r) & ", b= " & rnumber(CostOfCarry) & ", sigma = " &
rnumber(sigma) _
& ", n = " & rnumber(n) & ")"
RInterface.StartRServer
RInterface.RRun "library(fOptions)"
RInterface.RRun Instruction
RInterface.RRun "y<-getSlot(x, ""price"")"
CRR = RInterface.GetRExpressionValueToVBA("y")
End Function
Function GBS(TypeFlag As String, S As String, Strike As String, T As String,
r As String, CostOfCarry As String, sigma As String) As Double
Dim Instruction As String
Instruction = "x <- GBSOption(TypeFlag = """ & TypeFlag _
& """, S=" & rnumber(S) & ", X = " & rnumber(Strike) & ", Time = " &
rnumber(T) _
& ", r=" & rnumber(r) & ", b= " & rnumber(CostOfCarry) & ", sigma = " &
rnumber(sigma) & ")"
RInterface.StartRServer
RInterface.RRun "library(fOptions)"
RInterface.RRun Instruction
RInterface.RRun "y<-getSlot(x, ""price"")"
GBS = RInterface.GetRExpressionValueToVBA("y")
End Function
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
They are working fine, but I probably could have coded them better. For
example, I don't know if it's necessary or redundant to
include"library(fOptions)" in each function call; or if it would be better
not to use the same vectors' names (x and y) in both functions, just in case
they somehow might "survive" a function call thus interfering with the
other. Any ideas?
Thank you very much for your time.
Kind regards from Buenos Aires,
Diego Mazzeo
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