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二分法を使用して、ヨーロピアン コール オプションのインプライド ボラティリティを解く関数を作成しました。関数の入力はセル参照です。関数を使用しようとすると、 #Value! が返されます。エラーが発生し、理由がわかりません。私のコードは以下です。

Function BSCall(ByVal S As Double, ByVal K As Double, ByVal T As Double, _
ByVal vol As Double, Optional ByVal R As Double = 0, Optional ByVal Q As Double = 0)
Dim d1 As Double
Dim d2 As Double

d1 = Log(S / K) + (R - Q + (vol) * (vol) * 0.5) * T / (vol * Sqr(T))
d2 = d1 - (vol * Sqr(T))

BSCall = S * Exp(-Q * T) * Application.WorksheetFunction.Norm_S_Dist(d1, True) _
- K * Exp(-R * T) * Application.WorksheetFunction.Norm_S_Dist(d2, True)
End Function

Function ErrorCalc(ByVal Price As Double, ByVal vol As Double, ByVal S As Double, ByVal K As      Double, ByVal T As Double, _
Optional ByVal R As Double = 0, Optional ByVal Q As Double = 0)

Error = Price - BSCall(S, K, T, vol, R, Q)
End Function

Function IVCall(ByVal Price As Double, ByVal S As Double, ByVal K As Double, ByVal T As Double, _
Optional ByVal R As Double = 0, Optional ByVal Q As Double = 0, _
Optional tol = 0.000000001, Optional iter = 1000, _
Optional minSig = 0.0001, Optional maxSig = 4) As Double

Dim b As Double
Dim a As Double
Dim temp As Double
Dim mid As Double
Dim counter As Long
Dim sigma As Double

a = minSig
b = maxSig


If ErrorCalc(Price, a, S, K, T) * ErrorCalc(Price, b, S, K, T) < 0 Then
    Exit Function
End If

If ErrorCalc(Price, a, S, K, T) > 0 Then
    temp = a
    a = b
    b = temp
End If

Do Until (tol >= 10^ - 9 Or iter <> counter)
mid = (a + b) / 2
Error = ErrorCalc(Price, mid, S, K, T)
If Abs(Error) <= tol Then
    sigma = mid
    Exit Do
ElseIf Error > tol Then
    b = mid
ElseIf Error < tol Then
    a = mid
End If

counter = counter + 1
Loop
IVCall = sigma
End Function
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1 に答える 1

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以下の関数を更新して、コードを実行します。

Function BSCall(ByVal S As Double, ByVal K As Double, ByVal T As Double, _
ByVal vol As Double, Optional ByVal R As Double = 0, Optional ByVal Q As Double = 0) As Double
Dim d1 As Double
Dim d2 As Double

d1 = Log(S / K) + (R - Q + (vol) * (vol) * 0.5) * T / (vol * Sqr(T))
d2 = d1 - (vol * Sqr(T))

BSCall = Round(S * Exp(-Q * T) * Application.WorksheetFunction.Norm_S_Dist(d1, True) _
- K * Exp(-R * T) * Application.WorksheetFunction.Norm_S_Dist(d2, True), 4)
End Function



Function ErrorCalc(ByVal Price As Double, ByVal vol As Double, ByVal S As Double, ByVal K As Double, ByVal T As Double, _
Optional ByVal R As Double = 0, Optional ByVal Q As Double = 0) As Double

ErrorCalc = Price - BSCall(S, K, T, vol, R, Q)
End Function
于 2013-10-04T02:43:42.470 に答える