Black & Scholes Model
The VBA sub bs_future
is shown below; it uses a number of Mercury
functions to interact with GAUSS.
- Sub bs_future()
- Sheets("B&S").Select
- Mercury.Load
- GE.WorkspaceCreate
- GE.RangePut "b5", "k"
- GE.RangePut "b6", "f"
- GE.RangePut "b7", "sigma"
- GE.RangePut "b8", "tau"
- GE.RangePut "b9", "r"
-
- 'call
- GE.ExecCode "d9:d15"
- GE.ExecCode "c =
bscall_future(k,f,sigma,tau,r);"
- GE.RangeGet "e5", "c"
-
- 'put
- GE.ExecCode "d17:d23"
- GE.ExecCode "p =
bsput_future(k,f,sigma,tau,r);"
- GE.RangeGet "f5", "p"
- GE.WorkspaceClear
-
- End Sub
This VBA maco demonstrates the Black & Scholes Model
for evaluating future call and put options. In this example, the
sheet B&S is selected as the active sheet in line 2, and the
parameter values of the model taken from this sheet and set as
Gauss variables using the RangePut
command in lines 5 to 9. The call code is programmed in cells d5:d11 of the spreadsheet and this proc is then executed in
line 12 using the ExecCode command. The call value c is then evaluated in line
13, and returned to cell
e4 in line 14. A similar procedure is used for the put
value.
This VBA maco demonstrates the Black & Scholes Model
for evaluating future call and put options. In this example, the
sheet B&S is selected as the active sheet in line 2, and the
parameter values of the model taken from this sheet and set as
Gauss variables using the RangePut
command in lines 5 to 9. The call code is programmed in cells d5:d11 of the spreadsheet and this proc is then executed in
line 12 using the ExecCode command. The call value c is then evaluated in line
13, and returned to cell
e4 in line 14. A similar procedure is used for the put
value.