How to Implement Market Models Using VBA

Contents

Preface

Acknowledgements

Abbreviations

About the Author

CHAPTER 1: The Basics of VBA Programming

1.1 Getting started

1.2 VBA objects and syntax

1.2.1 The object-oriented basic syntax

1.2.2 Using objects

1.3 Variables

1.3.1 Variable declaration

1.3.2 Some usual objects

1.3.3 Arrays

1.4 Arithmetic

1.5 Subroutines and functions

1.5.1 Subroutines

1.5.2 Functions

1.5.3 Operations on one-dimensional arrays

1.5.4 Operations on two-dimensional arrays (matrices)

1.5.5 Operations with dates

1.6 Custom objects

1.6.1 Types

1.6.2 Classes

1.7 Debugging

1.7.1 Error handling

1.7.2 Tracking the code execution

CHAPTER 2: Mathematical Algorithms

2.1 Introduction

2.2 Sorting lists

2.2.1 Shell sort

2.2.2 Quick sort

2.3 Implicit equations

2.4 Search for extrema

2.4.1 The Nelder-Mead algorithm

2.4.2 The simulated annealing

2.5 Linear algebra

2.5.1 Matrix inversion

2.5.2 Cholesky decomposition

2.5.3 Interpolation

2.5.4 Integration

2.5.5 Principal Component Analysis

CHAPTER 3: Vanilla Instruments

3.1 Definitions

3.2 Fixed income

3.2.1 Bond market

3.2.2 Interbank market

3.3 Vanilla derivatives

3.3.1 Forward contracts

3.3.2 Swaps

3.3.3 Bond futures

3.4 Options basics

3.4.1 Brownian motion

3.4.2 Ito integral

3.4.3 Ito formula

3.4.4 Black–Scholes basic model

3.4.5 Risk-neutral probability

3.4.6 Change of probability

3.4.7 Martingale and numeraires

3.4.8 European-style options pricing

3.5 First generation exotic options

3.5.1 Barrier options

3.5.2 Quanto options

CHAPTER 4: Numerical Solutions

4.1 Finite ...