|
| Title: |
Simulate a Brownian Bridge |
Posted on 10/10/2005 11:44 PM |
| Descriptions: |
Simulate a Brownian Bridge between (0,start) and (t,end). |
| Functions: |
Brownian_Bridge(n as long, start as double, end as double) |
| Code: |
Download (3871 downloads) |
| Author: |
Jack
|
| Title: |
Simulate a VG process |
Posted on 10/10/2005 11:41 PM |
| Descriptions: |
Simulate a VG process. |
| Functions: |
VG_process(ByVal C, ByVal G, ByVal M, ByVal N, ByVal start, ByVal fin, Optional VG0 As Double) |
| Code: |
Download (3042 downloads) |
| Author: |
Jack
|
| Title: |
Simulate a Gamma process |
Posted on 10/10/2005 11:39 PM |
| Descriptions: |
Simulate a Gamma process. |
| Functions: |
Gamma_process(ByVal a, ByVal B, ByVal N, ByVal start, ByVal fin, Optional Gamma0 As Double) |
| Code: |
Download (3108 downloads) |
| Author: |
Jack
|
| Title: |
Simulate a NIG process |
Posted on 10/10/2005 11:39 PM |
| Descriptions: |
Simulate a NIG process. |
| Functions: |
NIG_process(ByVal a, ByVal B, ByVal mu, ByVal d, ByVal N, ByVal start, ByVal fin, Optional NIG0 As Double) |
| Code: |
Download (2985 downloads) |
| Author: |
Jack
|
| Title: |
Simulate the Exponential of a Levy process |
Posted on 10/10/2005 11:39 PM |
| Descriptions: |
Simulate the exponential of a Levy process of the following form St=S*exp(at+gWt+CPt), where Wt : Standard Brownian motion and CPt : Compound Poisson process with N(r,sigma) underprocesses and parameter lambda. |
| Functions: |
ExpLevy_process(ByVal S0 As Double, ByVal lambda As Double, ByVal N, ByVal start, ByVal fin, r As Double, ByVal sigma As Double, ByVal a As Double, ByVal G As Double) |
| Code: |
Download (3046 downloads) |
| Author: |
Jack
|
| Title: |
Simulate a Levy process |
Posted on 10/10/2005 11:37 PM |
| Descriptions: |
Simulate a Levy process of the following form Xt=at+gWt+CPt, where Wt : Standard Brownian motion and CPt : Compound Poisson process with N(r,sigma) underprocesses and parameter lambda. |
| Functions: |
Levy_process(ByVal lambda, ByVal N, ByVal start, ByVal fin, ByVal r, ByVal sigma, ByVal a, ByVal G) |
| Code: |
Download (3651 downloads) |
| Author: |
Jack
|
| Title: |
Simulate a Compound Poisson process |
Posted on 10/10/2005 11:36 PM |
| Descriptions: |
Simulate a compound Poisson process with parameter lambda and a Brownian(r,sigma). |
| Functions: |
CompoundPoisson_process(ByVal lambda, ByVal N, ByVal start, ByVal fin, ByVal r, ByVal sigma) |
| Code: |
Download (3344 downloads) |
| Author: |
Jack
|
| Title: |
Simulate Log Normal Stock |
Posted on 10/10/2005 11:35 PM |
| Descriptions: |
Simulate a stock following a log normal return distribution. |
| Functions: |
S(ByVal r, ByVal sigma, ByVal S0, ByVal N, ByVal start, ByVal fin) |
| Code: |
Download (5393 downloads) |
| Author: |
Jack
|
| Title: |
Simulate a Poisson process |
Posted on 10/10/2005 11:34 PM |
| Descriptions: |
Simulate a Poisson process with parameter lambda. |
| Functions: |
Poisson_process(ByVal lambda, ByVal N, ByVal start, ByVal fin, Optional vect0 As Double) |
| Code: |
Download (4630 downloads) |
| Author: |
Jack
|
| Title: |
Simulate CIR process |
Posted on 10/10/2005 11:33 PM |
| Descriptions: |
Simulate a CIR process |
| Functions: |
CIR_process(ByVal a, ByVal eta, ByVal lambda, ByVal CIR0, ByVal N, ByVal start, ByVal fin) |
| Code: |
Download (3758 downloads) |
| Author: |
Jack
|
| Title: |
Simulate Brownian Process |
Posted on 10/10/2005 11:30 PM |
| Descriptions: |
Simulate a Brownian process N(r,sigma) startting at time t(j). |
| Functions: |
Brownian_process(ByVal j, ByVal N, ByVal r, ByVal sigma) |
| Code: |
Download (6517 downloads) |
| Author: |
Jack
|
| Title: |
Tri-Weight Kernel Distribution |
Posted on 09/16/2005 12:34 PM |
| Descriptions: |
Tri-weight or Epanechnikov kernel distribution |
| Functions: |
KERNELDIST(x As Single, h As Single, y As Range) |
| Code: |
Download (2993 downloads) |
| Author: |
Marinus
|
| Title: |
Gamma Distribution Random Number Generator |
Posted on 07/20/2005 01:00 AM |
| Descriptions: |
Generate a Gamma distributed random variable with parameters a and B. |
| Functions: |
Gamma(ByVal a As Double, ByVal B As Double) As Double |
| Code: |
Download (4566 downloads) |
| Author: |
Jack
|
| Title: |
Normal Inverse Gaussian Random Number Generator |
Posted on 07/20/2005 12:56 AM |
| Descriptions: |
Simulate a Normal Inverse Guassian (NIG) distributed random variable. Uses the Gauss() and Inverse Gauss IG() functions. |
| Functions: |
NIG(ByVal a As Double, ByVal B As Double, ByVal mu As Double, ByVal d As Double) As Double |
| Code: |
Download (4681 downloads) |
| Author: |
Jack
|
| Title: |
Inverse Gaussian Random Number Generator |
Posted on 07/20/2005 12:55 AM |
| Descriptions: |
Simulate an inverse Gaussian distributed random variable. |
| Functions: |
IG(ByVal mu As Double, ByVal lambda As Double) As Double |
| Code: |
Download (3564 downloads) |
| Author: |
Jack
|
| Title: |
Poisson Distribution Random Number Generator |
Posted on 07/20/2005 12:54 AM |
| Descriptions: |
Simulate a Poisson distributed random variable with parameter lambda. This function also uses the alea() function. |
| Functions: |
Randpoisson(ByVal lambda As Double) As Double |
| Code: |
Download (6653 downloads) |
| Author: |
Jack
|
| Title: |
Orthogonal Regression |
Posted on 07/18/2005 11:09 PM |
| Descriptions: |
This code is for running orthogonal regression in Excel. File also includes simple OLS regression for comparison. |
| Functions: |
regress_orthols(x, y)
regress_ls(x, y, Optional w) |
| Code: |
Download (4594 downloads) |
| Author: |
sjoo
|
| Title: |
OLS Regression (Ordinary Least Squares) |
Posted on 01/07/2005 11:16 PM |
| Descriptions: |
Single variable or Multivariate OLS regression using matrix algebra. Pass the function a dependant vector and a matrix of explanatory variables and the function will return a vector of betas (slope coefficients). |
| Functions: |
OLSregress(y As Variant, X As Variant) As Variant |
| Code: |
Download (9200 downloads) |
| Author: |
GregV
|
| Title: |
Euclidean Algorithm Greatest Common Denominator |
Posted on 12/22/2004 12:41 AM |
| Descriptions: |
Computes the GCD of two positive integers using the Euclidean Algorithm. It also lists the intermediate steps and expresses the GCD as a linear combination of the two orignal integers. |
| Functions: |
myGcd() |
| Code: |
Download (3959 downloads) |
| Author: |
Shing
|
| Title: |
Gauss-Jordan Decomposition |
Posted on 11/10/2004 01:32 PM |
| Descriptions: |
A method for finding a matrix inverse. |
| Functions: |
Gauss_Jordan(Apass As Range, bpass As Range) |
| Code: |
Download (8191 downloads) |
| Author: |
Jack
|
| Title: |
Cholesky Factorization |
Posted on 11/10/2004 01:31 PM |
| Descriptions: |
Given a symmetric positive definite matrix A, the Cholesky decomposition is an upper triangular matrix U such that A = transpose(U)U. |
| Functions: |
Cholesky(Mat As Range) |
| Code: |
Download (14430 downloads) |
| Author: |
Jack
|
| Title: |
Bivariate Normal Distribution |
Posted on 10/19/2004 01:55 PM |
| Descriptions: |
Calculates a bivariate normal distribution |
| Functions: |
Henery(X As Double, Y As Double, r As Double) As Double |
| Code: |
Download (7847 downloads) |
| Author: |
JMS
|
| Title: |
Spline Interpolation |
Posted on 10/12/2004 02:13 AM |
| Descriptions: |
Fit a spline and parabolic spline for data up to 3-dimensions. |
| Functions: |
vbaSpline(a As Double, xrange As Object, yrange As Object, zrange As Object) As Double
vbaParabolicSpline(xrange As Object, yrange As Object) As Variant |
| Code: |
Download (16631 downloads) |
| Author: |
JMS
|
| Title: |
Linear Interpolation |
Posted on 10/12/2004 02:10 AM |
| Descriptions: |
There are 2 functions in this file: Linear interpolation of interest rates or volatilities and linear interpolation of discount factors. |
| Functions: |
inter2(x_v As Object, y_v As Object, X As Variant) As Double
inter3(x_v As Object, y_v As Object, X As Variant) As Double |
| Code: |
Download (12146 downloads) |
| Author: |
JMS
|
| Title: |
Mid Point Numerical Integration |
Posted on 08/28/2004 01:38 PM |
| Descriptions: |
This is a function written in EXCEL - VBA that evaluates the integral of another function numerically, using the Mid-Point rule. |
| Functions: |
MPNumericalIntegration(startInt, endInt, NumPoints)
testFunction(x) |
| Code: |
Download (5752 downloads) |
| Author: |
GregV
|
| Title: |
Trapezoidal Numerical Integration |
Posted on 08/28/2004 01:38 PM |
| Descriptions: |
This is a function written in EXCEL - VBA that evaluates the integral of another function numerically, using the Trapezoidal Rule. |
| Functions: |
TrapNumericalIntegration(startInt, endInt, NumPoints)
testFunction(x) |
| Code: |
Download (7892 downloads) |
| Author: |
GregV
|
| Title: |
Complex Number Functions |
Posted on 08/28/2004 01:38 PM |
| Descriptions: |
This libabry contains functions for manipulating complex numbers and a complex number type. Complex Displaying, Complex Parsing, Complex Adding, Complex Multiplying, Complex Modulus Value, Complex Conjugate and Complex Division are all functions that are included in this EXCEL VBA module. |
| Functions: |
cNum(cText As String)
cAdd(A As cNum, B As cNum)
cMult(A As cNum, B As cNum)
cModulus(A As cNum)
cDisplay(A As cNum)
cConjugate(A As cNum)
cDiv(A As cNum, B As cNum) |
| Code: |
Download (6064 downloads) |
| Author: |
GregV
|
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