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Lecture 22

Xiaoguang Wang

STAT 598W

April 14, 2014

(STAT 598W) Lecture 22 1 / 37

Outline

1 Excel review

2 VBA: Introduction

3 VBA: Subroutines


Some Assumptions

In this course I will assume you know:

Basic Excel functions: Mathematical and Trigonometrical, Statistical.

Look-up functions: vlookup, hlookup, match and index.

If function.

Basic Excel plotting.

If you have more questions, please let me know...


Matrix manipulation

Main source: Jackson and Staunton (2001)

Range names.

Transpose.

Multiplication.

Inversion.


Regression tools

INTERCEPT(), SLOPE(), RSQ(), STEYX()

LINEST()

Regression in Analysis ToolPak. (Location:Data -> Data Analysis)

Example: S&P500 vs NVIDIA stock. (10/8/10-1/7/11)


Goal Seek

Suppose we have an European Call Option with the following information:

Stock Price: 100

Exercise Price: 95

Interest rate: 8% per year

Dividend yield: 3% per year

Maturity: 1/2 year

Volatility: 20% per year.

Option’s market value: 10.43

What is the required volatility such that the BS price is equal to the marketvalue? (Using Goal Seek: Location: Data -> What-If Analysis)


Goal Seek

Recall the BS Call Option formula with dividends:

C (S ,T ) = e−rT (F · N(d1)− K · N(d2))

where:

F = S · e(r−q)T

d1 =ln (F/K ) + (σ2/2)T

σ√T

d2 = d1 − σ√T


Solver

Portfolio Optimization Problem.

Markowitz optimization problem: to find mean-variance efficientportfolios. (highest expected return for a given level of risk)

Suppose we have n assets then we can compute:

Portfolio return:

E (rp) =n∑

i=1

wiE (ri )

Portfolio risk:

σp =

√√√√ n∑i=1

n∑j=1

wiwjcov(ri , rj)

E (ri ): expected return asset i , wi : capital allocation on asset i .


Solver

Consider three asset classes in US (TBills, Bonds and Shares) between1926 and 1992. The average returns and covariance matrix are shown inexe1.xls.

Consider the weights: 40%, 50% and 10%. Compute the portfolioexpected return and standard deviation.

Solve the following problem: (Using Solver. Location:Data -> Solver)

minwσp

with the constraints:∑

i wi = 1 and E (rp) >= 7%.


Outline

1 Excel review

2 VBA: Introduction

3 VBA: Subroutines


What is VBA?

Visual Basic for Applications (VBA) is an implementation ofMicrosoft’s event-driven programming language Visual Basic 6 and itsassociated integrated development environment (IDE), which are builtinto most Microsoft Office applications.

Visual Basic for Applications enables building user defined functions,automating processes and accessing Windows API and other low-levelfunctionality through dynamic-link libraries (DLLs).

It can be used to control many aspects of the host application,including manipulating user interface features, such as menus andtoolbars, and working with custom user forms or dialog boxes.


What is VBA?

VBA is closely related to Visual Basic and uses the Visual BasicRuntime Library, but can normally only run code within a hostapplication rather than as a standalone program. It can, however, beused to control one application from another via OLE Automation.For example, it is used to automatically create a Word report fromExcel data, which is in turn automatically collected by Excel frompolled observation sensors.

Code written in VBA is compiled to a proprietary intermediatelanguage called P-code (packed code), which the hosting applications(Access, Excel, Word, Outlook, and PowerPoint) store as a separatestream in COM Structured Storage files (e.g., .doc or .xls)independent of the document streams. The intermediate code is thenexecuted by a virtual machine (hosted by the hosting application).


Excel Macros

Main idea: Repeat tasks efficiently on the Excel Worksheet.

Location: View -> Macros.


Excel Macros

Using the data in Worksheet #1 of exe2.xls, compute:

Five number summary.95% confidence interval of the sample mean.

Construct an Excel macro with the previous tasks.


Cell addresses

VBA can interpret cell addresses in two different ways:

“A1“ mode.”R1C1” mode.

Please take a look of “=ADDRESS()” Excel function and the website:http://www.lytebyte.com/2008/04/29/what-are-a1-and-r1c1-reference-style-in-excel/

This will help you to understand how the Macro recorder works.


VBA Editor

Location: Developer->Visual Basic Most important components:

Project Window: shows the components of all open projects.

Properties Window: shows the properties of a selected object.

Code Window: contains VBA code for procedures.

Object Browser: checking the objects, methods and propertiesavailable in VBA.


VBA

Visual Basic for Applications

Part of the Visual Basic family.

VBA runs within a host environment. (In our case: Microsoft Excel)

VBA is an interpreted language (like MATLAB, R), it doesn’t compileyour files (or create an executable file).

Microsoft Office provides VBA for all its applications.

VBA is an objected-oriented language. (like C++, but R andMATLAB are module-oriented languages)


VBA: Object-Oriented language

What is an object?

Any component in the Excel environment: Workbooks, worksheets,ranges, charts, Excel itself.

The VBA objects can be described as follows:

Objects come in collections.

Objects belong to a hierarchy.

Objects have properties.

Objects have methods.


Objects in collections

The objects can be labeled or counted in collections:

Workbooks: collection containing several workbooks. For example:Workbooks(1)

Worksheets

Charts

some collections are singular:

Application: collection consisting of Excel application.

Range: collection of adjacent Worksheet cells.

The objects can be referenced by indexing by number (Workbooks(1)) orby name (Range("data"), Range("A1:B20")).


Objects belong to a hierarchy

We can move from one level to another by using dot operator.Example:Application.Workbooks("Model.xls").Sheets("inputs").Range("data")

In VBA we can use the “Active” object to reference any other siblingobject. For example:ActiveWorkbook.Sheets("inputs").Range("data") refers to the“input” sheet, range “data” on the active workbook.


Objects have properties

Properties: attributes of an object. Syntax: Object.Property

Example: Application.ScreenUpdating = FalseRange has several properties: Range("B23").Name="month2",Range("B23").Value=4000.

You can assign a property’s value to any variable:valpp=Range("B23").Value.


Objects have methods

Methods: Predefined activities of an object. Syntax: Object.Method

Example:

Range("A1:B3").Select

Range("A1:B10").Copy

Range("storerange").PasteSpecial

Workbooks(Model.xls).Activate


VBA Procedures

Definition: block of code that performs specific actions.

Types:

Subroutines: doesn’t return a value.Functions: returns a value.

The Macro recorder only creates subroutines.


Outline

1 Excel review

2 VBA: Introduction

3 VBA: Subroutines


Subroutines

Syntax:

Sub Macro_name(arguments)

’comments

...

...

End Sub

Create a subroutine linking the contents in cell A5 to cell A8 in the“Example2” sheet.

Create a subroutine linking the contents in cell B1 to cell B3 in theactive sheet. Hint: use ActiveSheet.


Interaction (Output)

You can use the MsgBox to display a message box when a procedureis running.

What is this code doing?

Sub exercise3()

’MsgBox practice

vl=Range("B5").Value

Msgbox("Your value in B5 is "& vl)

End Sub


Interaction (Input)

Use the InputBox function to prompt for specific user input duringthe execution of a procedure.

Syntax:

Sub Factorial()

’calculates the factorial of a number

fac = 1

num = InputBox("Enter Number")

For i = 1 To num

fac = i * fac

Next i

MsgBox ("Factorial is" & fac)

End Sub


Excel Functions

By using the WorksheetFunction command we can call some ofpredefined Excel functions.

Example: Create a subroutine that computes n!.

Sub Factorial()

’calculates the factorial of a number

num = InputBox("Enter integer number ", "Calculate Factorial ")

fac = Application.Fact(num)

MsgBox "Factorial is "& fac

End Sub


Data Types

In VBA (and in any other language) it is important to define explicitlyall the variables used.

You can do this by declaring Option Explicit at the beggining ofthe module.

Syntax: Dim variable_name As Type.


Data Types

VBA integers:

Data Type Bytes Range of Values

Byte 1 0 to 255Integer 2 -32,768 to 32,767Long 4 -2,147,483,648 to 2,147,483,647


Data Types

VBA Numeric values (positive and negative values):

Data Type Bytes Range of Values (absolute value)

Single 4 ≈ 1.410−45 to 3.4× 1038

Double 8 ≈ 4.9410−324 to 1.79× 10308

VBA Boolean data:

Dim test As Boolean

test=True


Data Types

VBA Object variable

Any object in Excel Application can be defined as an Object variable.

Examples:

Dim chrt As Chart

Dim sheet1 As Worksheet

Dim book1 As Workbook

Dim pv1 As PivotTable

VBA Date variable:

You have to use a slightly different notation:

Const Startdate As Date=#6/27/1981#

Range: 1/1/100 to 12/31/9999.


Data Types

VBA String variable

Store a sequence a characters.

Example:

Dim samplestring,samplestring2 As String

samplestring="Name"

samplestring2="Last Name"

VBA Variant variable

Default data type in VBA. It can contain any type of data.

Variant is expensive in terms of storage size. (16 and more bytes.)


Constants

Values that don’t change within your code.

You can modify their values only once.

Example: Const Temp as Double=68.23


VBA Arrays

Group of variables with the same name and data type.

By default the array’s lowest index starts always at 0. It is possible tochange this option by using: Option Base 1 at the start of themodule.

This example gives different results depending on the Option-Basevalue.

Option Base 1

Sub exercise5()

’gives b=20 if Option Base is 1; gives b=30

’in absence of Option Base statement

Dim avec, b

avec = Array(10,20,30)

b = avec(2)

MsgBox "b is" &b

End Sub


VBA Dynamic Arrays

You can create dynamic arrays in VBA by using:Dim array_name() As Type.

Use ReDim array_name(n) to re-define the array.

Example: First define the vector ”cvec” as dynamic array and thenredefine it according to the counts of the selected range ”dvec”

Sub SelectCount()

’re-Dim data array cvec

Dim n, cvec()

ActiveSheet.range("dvec").Select

n = Selection.Count

ReDim cvec(n)

MsgBox ("The length of the vector cvec is" & n)

End Sub


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