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VBA Error

S

Satyaprakash

New Member
I have the following code and it is giving me a compile error: user-defined type not defined.
Could someone help me.
Code: 
Function set_cNum(rPart, iPart) As cNum
set_cNum.rP = rPart
set_cNum.iP = iPart
End Function
Function cNumProd(cNum1 As cNum, cNum2 As cNum) As cNum
cNumProd.rP = (cNum1.rP * cNum2.rP) - (cNum1.iP * cNum2.iP)
cNumProd.iP = (cNum1.rP * cNum2.iP) + (cNum1.iP * cNum2.rP)
End Function
Function cNumAdd(cNum1 As cNum, cNum2 As cNum) As cNum
cNumAdd.rP = (cNum1.rP + cNum2.rP)
cNumAdd.iP = (cNum1.iP + cNum2.iP)
End Function
Function cNumSub(cNum1 As cNum, cNum2 As cNum) As cNum
cNumSub.rP = (cNum1.rP - cNum2.rP)
cNumSub.iP = (cNum1.iP - cNum2.iP)
End Function
Function cNumDiv(cNum1 As cNum, cNum2 As cNum) As cNum
cNumProd.rP = ((cNum1.rP * cNum2.rP) + (cNum1.iP * cNum2.iP)) / (cNum2.rP ^ 2 + cNum2.iP ^ 2)
cNumProd.iP = ((cNum1.iP * cNum2.rP) - (cNum1.rP * cNum2.iP)) / (cNum2.rP ^ 2 + cNum2.iP ^ 2)
End Function
Function cNumSqrt(cNum1 As cNum) As cNum
r = Sqr(cNum1.rP ^ 2 + cNum1.iP ^ 2)
y = Atn(cNum1.iP / cNum1.rP)
cNumSqrt.rP = Sqr(r) * Cos(y / 2)
cNumSqrt.iP = Sqr(r) * Sin(y / 2)
End Function
Function cNumExp(cNum1 As cNum) As cNum
cNumExp.rP = Exp(cNum1.rP) * Cos(cNum1.iP)
cNumExp.iP = Exp(cNum1.rP) * Sin(cNum1.iP)
End Function
Function cNumLn(cNum1 As cNum) As cNum
r = (cNum1.rP ^ 2 + cNum1.iP ^ 2) ^ 0.5
theta = Atn(cNum1.iP / cNum1.rP)
cNumLn.rP = Application.Ln(r)
cNumLn.iP = theta
End Function
Function HestonP1(phi, kappa, theta, lambda, rho, sigma, tau, K, S, r, v)
mu1 = 0.5
b1 = set_cNum(kappa + lambda - rho * sigma, 0)
d1 = cNumSqrt(cNumSub(cNumSq(cNumSub(set_cNum(0, rho * sigma * phi), b1)), cNumSub(set_cNum(0, sigma ^ 2 * 2 * mu1 * phi), set_cNum(sigma ^ 2 * phi ^ 2, 0))))
g1 = cNumDiv(cNumAdd(cNumSub(b1, set_cNum(0, rho * sigma * phi)), d1), cNumSub(cNumSub(b1, set_cNum(0, rho * sigma * phi)), d1))
DD1_1 = cNumDiv(cNumAdd(cNumSub(b1, set_cNum(0, rho * sigma * phi)), d1), set_cNum(sigma ^ 2, 0))
DD1_2 = cNumSub(set_cNum(1, 0), cNumExp(cNumProd(d1, set_cNum(tau, 0))))
DD1_3 = cNumSub(set_cNum(1, 0), cNumProd(g1, cNumExp(cNumProd(d1, set_cNum(tau, 0)))))
DD1 = cNumProd(DD1_1, cNumDiv(DD1_2, DD1_3))
CC1_1 = set_cNum(0, r * phi * tau)
CC1_2 = set_cNum((kappa * theta) / (sigma ^ 2), 0)
CC1_3 = cNumProd(cNumAdd(cNumSub(b1, set_cNum(0, rho * sigma * phi)), d1), set_cNum(tau, 0))
CC1_4 = cNumProd(set_cNum(2, 0), cNumLn(cNumDiv(cNumSub(set_cNum(1, 0), cNumProd(g1, cNumExp(cNumProd(d1, set_cNum(tau, 0))))), cNumSub(set_cNum(1, 0), g1))))
cc1 = cNumAdd(CC1_1, cNumProd(CC1_2, cNumSub(CC1_3, CC1_4)))
f1 = cNumExp(cNumAdd(cNumAdd(cc1, cNumProd(DD1, set_cNum(v, 0))), set_cNum(0, phi * Application.Ln(S))))
HestonP1 = cNumReal(cNumDiv(cNumProd(cNumExp(set_cNum(0, -phi * Application.Ln(K))), f1), set_cNum(0, phi)))
End Function

Function HestonP2(phi, kappa, theta, lambda, rho, sigma, tau, K, S, r, v)
mu2 = -0.5
b2 = set_cNum(kappa + lambda, 0)
d1 = cNumSqrt(cNumSub(cNumSq(cNumSub(set_cNum(0, rho * sigma * phi), b2)), cNumSub(set_cNum(0, sigma ^ 2 * 2 * mu2 * phi), set_cNum(sigma ^ 2 * phi ^ 2, 0))))
g1 = cNumDiv(cNumAdd(cNumSub(b2, set_cNum(0, rho * sigma * phi)), d1), cNumSub(cNumSub(b2, set_cNum(0, rho * sigma * phi)), d1))
DD1_1 = cNumDiv(cNumAdd(cNumSub(b2, set_cNum(0, rho * sigma * phi)), d1), set_cNum(sigma ^ 2, 0))
DD1_2 = cNumSub(set_cNum(1, 0), cNumExp(cNumProd(d1, set_cNum(tau, 0))))
DD1_3 = cNumSub(set_cNum(1, 0), cNumProd(g1, cNumExp(cNumProd(d1, set_cNum(tau, 0)))))
DD1 = cNumProd(DD1_1, cNumDiv(DD1_2, DD1_3))
CC1_1 = set_cNum(0, r * phi * tau)
CC1_2 = set_cNum((kappa * theta) / (sigma ^ 2), 0)
CC1_3 = cNumProd(cNumAdd(cNumSub(b2, set_cNum(0, rho * sigma * phi)), d1), set_cNum(tau, 0))
CC1_4 = cNumProd(set_cNum(2, 0), cNumLn(cNumDiv(cNumSub(set_cNum(1, 0), cNumProd(g1, cNumExp(cNumProd(d1, set_cNum(tau, 0))))), cNumSub(set_cNum(1, 0), g1))))
cc1 = cNumAdd(CC1_1, cNumProd(CC1_2, cNumSub(CC1_3, CC1_4)))
f1 = cNumExp(cNumAdd(cNumAdd(cc1, cNumProd(DD1, set_cNum(v, 0))), set_cNum(0, phi * Application.Ln(S))))
HestonP1 = cNumReal(cNumDiv(cNumProd(cNumExp(set_cNum(0, -phi * Application.Ln(K))), f1), set_cNum(0, phi)))
End Function
Function Heston(PutCall As String, kappa, theta, lambda, rho, sigma, tau, K, S, r, v)
Dim P1_int(1001) As Double, P2_int(1001) As Double, phi_int(1001) As Double
Dim p1 As Double, p2 As Double, phi As Double, xg(16) As Double, wg(16) As Double
cnt = 1
For phi = 0.0001 To 100.0001 Step 0.1
phi_int(cnt) = phi
P1_int(cnt) = HestonP1(phi, kappa, theta, lambda, rho, sigma, tau, K, S, r, v)
P2_int(cnt) = HestonP2(phi, kappa, theta, lambda, rho, sigma, tau, K, S, r, v)
cnt = cnt + 1
Next phi
p1 = 0.5 + (1 / thePI) * TRAPnumint(phi_int, P1_int)
p2 = 0.5 + (1 / thePI) * TRAPnumint(phi_int, P2_int)
If p1 < 0 Then p1 = 0
If p1 > 1 Then p1 = 1
If p2 < 0 Then p2 = 0
If p2 > 1 Then p2 = 1
HestonC = S * p1 - K * Exp(-r * tau) * p2
If PutCall = "Call" Then
Heston = HestonC
ElseIf PutCall = "Put" Then
Heston = HestonC + K * Exp(-r * tau) - S
End If
End Function
 
Last edited by a moderator:
Hi Satyaprakash ,

You can make it easier for others by :

a) Which function is giving the error ?

b) Within the function , which line is generating the error ?

Narayan
 
I don't think the Definition part of each function
Function set_cNum(rPart, iPart) As cNum
is allowable as VBA doesn't have a data type cNum

I'd change them all to As Variant
eg:
Function set_cNum(rPart, iPart) As variant
 
Hi ,

I don't think replacing cNum by Variant will work ; I think cNum stands for a complex number , which has a real part and an imaginary part.

To handle such numbers , there has to be a user-defined type cNum.

Narayan
 
I am sorry it was a bit hastily posted.... Actually I am all thumbs when it comes to VBA. Narayan, for me the first function itself is giving the error. However on impulse I just posted the entire thing so that if a mistake is there anywhere else also, then someone can help me out.
P.S:Actually I didnt write the code; I compiled it from a source.
 
Hi Satyaprakash ,

If you explain why you have copied this section of code , and post the source , we can help.

It looks as if what you have posted is just a subset of a complete suite of complex number handling routines / functions. As such , you should probably download the full set rather than take bits and pieces.

Narayan
 
Thank You Debraj,
But I took the VBA from this book only... and I am getting the error.

And Narayan,
No actually I copied them all from the book Option pricing using Excel VBA by fabrice rouah.
 
Last edited:
Hi Satyaprakash ,

Never copy ; try to understand.

If you read the book , or at least the section from where you copied this code , you will see what else you are supposed to copy.

Narayan
 
Thank you Narayan. That solved my problem.
But now I have another.
Function HestonP1(phi, kappa, theta, lambda, rho, sigma, tau, K, S, r, v)
mu1 = 0.5
b1 = set_cNum(kappa + lambda - rho * sigma, 0)
In this line for b1 is giving me an error- Only user defined types defined in public object modules can be coerced to or from a variant or passed to late-bound functions. I then entered the code
Dim b1 As Class1
Then set_cNum gets highlighted with the same error. But I have already put set_cNum as a function in the code. What is happening?
 
Last edited:
Hi Satyaprakash ,

Can you please upload a sample file with all of the code in it ? It is difficult to debug segments of code , especially the one you have posted.

Narayan
 
Hi Satyaprakash ,

See your file now.

I have made quite a few changes which I thought logical ; they may not be mathematically correct , since I have no idea what the code is doing.

You need to verify that you get the correct outputs for the given inputs.

Narayan
 

Attachments

The function is an implementation of the Heston method of calculating the Black-Scholes option pricing.
 
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