MMult not Working

[Bazman]

Hi there,

In the following when I try to use the following

CorRands = Fn.MMult(cholesky, rands)

I get the error run-time error 1004 unable to get the MMult property of the WorksheetFunction class.

I assume its because cholesky was read in as a Range from the spredsheet and rands is a VBA array. Can anyone tell me how to fix?

Sub SABRLMM()

Dim fwds, correls, Bm, Cm, hParams, gParams, ffCorrels, vvCorrels, fvCorrels, exps, k, nTsteps, Beta, cholesky As Variant
Dim Fn As Object
Dim nfwds As Integer, numeraire As Integer, i As Integer, j As Integer, alpha As Integer, nfactors As Integer, Nf As Integer, Nv As Integer
Dim dt As Double, T As Double, temp As Double, tau As Double, difFwd As Double, difVvol As Double, rand1 As Double, rand2 As Double, Nsims As Double, X As Double


Set Fn = Application.WorksheetFunction

fwds = Range("fwds").Value
nfwds = UBound(fwds)

Dim mu() As Double
ReDim mu(nfwds)

Dim eta() As Double
ReDim eta(nfwds)

Dim s() As Double
ReDim s(nfwds)

Dim totFwds() As Double
ReDim totFwds(nfwds)

Dim Sumer() As Double
ReDim Sumer(nfwds)

Dim square() As Double
ReDim square(nfwds)

Dim SD() As Double
ReDim SD(nfwds)



Nsims = Range("Nsims").Value
nTsteps = Range("nTsteps").Value
Beta = Range("Beta").Value

correls = Range("correls").Value

'nfactors = Range("correls").Columns.Count


Bm = Range("Bm").Value
Nf = Range("Bm").Columns.Count

Cm = Range("Cm").Value
Nv = Range("Cm").Columns.Count

nfactors = Nf + Nv


Dim rands() As Double
ReDim rands(nfactors - 1)

Dim CorRands() As Double
ReDim CorRands(nfactors)

hParams = Range("hParams").Value
gParams = Range("gParams").Value


ffCorrels = Fn.MMult(Bm, Fn.Transpose(Bm))
vvCorrels = Fn.MMult(Cm, Fn.Transpose(Cm))
fvCorrels = Fn.MMult(Bm, Fn.Transpose(Cm))

exps = Range("exps").Value

dt = 1 / (nTsteps \ exps(nfwds, 1))

correls = Range("correls").Value

numeraire = Range("numeraire").Value

k = Range("k").Value

cholesky = Range("cholesky").Value

Dim strike As Double
strike = 0.05601844

For i = 1 To nfwds
mu(i) = 0
eta(i) = 0
s(i) = 0
totFwds(i) = 0
Sumer(i) = 0
square(i) = 0
SD(i) = 0
Next i


For X = 1 To Nsims
    
    
    For i = 1 To nfwds
        totFwds(i) = fwds(i, 1)
    Next i


    For T = 0 To exps(nfwds, 1) Step dt


        For i = 1 To nfwds

            If i > numeraire Then

                temp = 0

                    For alpha = numeraire + 1 To i
            
                        tau = exps(alpha, 1) - exps(alpha - 1, 1)
            
                        temp = temp + ffCorrels(i, alpha) * (fwds(alpha, 1) ^ Beta * g(exps(alpha, 1), T, gParams) * k(alpha, 1) * tau) / (1 + tau * fwds(alpha, 1) ^ Beta)
                    
                 Next alpha
        
                mu(i) = temp * (fwds(i, 1) ^ Beta * g(exps(i, 1), T, gParams) * k(i, 1))

            ElseIf i = numeraire Then
        
                    mu(numeraire) = 0
    
    
            ElseIf i < numeraire Then
    
                 temp = 0

                    For alpha = i + 1 To numeraire
            
                        tau = exps(alpha, 1) - exps(alpha - 1, 1)
            
                        temp = temp + ffCorrels(i, alpha) * (fwds(alpha, 1) ^ Beta * g(exps(alpha, 1), T, gParams) * k(alpha, 1) * tau) / (1 + tau * fwds(alpha, 1) ^ Beta)
                    
                    Next alpha
        
                mu(i) = temp * -(fwds(i, 1) ^ Beta * g(exps(i, 1), T, gParams) * k(i, 1))
    
            End If
    
        Next i
    
    
        For i = 1 To nfwds

            If i > numeraire Then

                temp = 0

                    For alpha = numeraire + 1 To i
            
                        tau = exps(alpha, 1) - exps(alpha - 1, 1)
            
                        temp = temp + fvCorrels(i, alpha) * (fwds(alpha, 1) ^ Beta * g(exps(alpha, 1), T, gParams) * k(alpha, 1) * tau) / (1 + tau * fwds(alpha, 1) ^ Beta)
                    
                    Next alpha
        
                eta(i) = temp * h(exps(i, 1), T, hParams)

            ElseIf i = numeraire Then
        
                    eta(numeraire) = 0
    
    
            ElseIf i < numeraire Then
    
            temp = 0

                    For alpha = i + 1 To numeraire
            
                        tau = exps(alpha, 1) - exps(alpha - 1, 1)
            
                        temp = temp + fvCorrels(i, alpha) * (fwds(alpha, 1) ^ Beta * g(exps(alpha, 1), T, gParams) * k(alpha, 1) * tau) / (1 + tau * fwds(alpha, 1) ^ Beta)
                    
                    Next alpha
        
              eta(i) = -temp * h(exps(i, 1), T, hParams)
    
            End If
    
        Next i
    
  

        For i = 1 To nfwds

        If totFwds(i) <> 0 Then
        
        
               s(i) = g(exps(i, 1), T, gParams) * k(i, 1)

                    For j = 0 To nfactors - 1
                            
                        rand1 = Rnd()
                        'rand2 = Rnd()
                        
                        Do While rand1 = 0
                        rand1 = Rnd()
                        Loop
                        
                        
                        'Do While rand2 = 0
                        'rand2 = Rnd()
                        'Loop
                        rands(j) = Fn.NormInv(rand1, 0, 1)
                    
                    Next j
    
                CorRands = Fn.MMult(cholesky, rands)
                'ffCorrels = Fn.MMult(Bm, Fn.Transpose(Bm))
                       For j = 1 To Nf
                                                                      
                        difFwd = Sqr(dt) * correls(i, j) * CorRands(j) 'BoxMuller(Halton(i, 3), Halton(i, 5))
                        
                    Next j
                
                
                    
                       For j = 1 To Nv
                          
                                                                      
                        difVvol = Sqr(dt) * correls(nfwds + i, j) * CorRands(Nf + j) 'BoxMuller(Halton(i, 3), Halton(i, 5)) '
            
                    Next j
                
                totFwds(i) = totFwds(i) + mu(i) * dt + totFwds(i) ^ Beta * s(i) * difFwd

                   If totFwds(i) <= 0 Then
            
                        totFwds(i) = 0
            
                    End If

                k(i, 1) = k(i, 1) + eta(i) * dt + h(exps(i, 1), T, hParams) * difVvol
      
            End If

        
        Next i

        
'mu = h(t, , t, a, b, c, d) *k(1,1)
        Next T
 
    For i = 1 To nfwds
        Sumer(i) = Sumer(i) + totFwds(i) - strike
        square(i) = square(i) + Sumer(i) ^ 2
    Next i
    
Next X

    
    
    For i = 1 To nfwds
    SD(i) = (Sqr(square(i) - (1 / Nsims) * Sumer(i) ^ 2)) / (Nsims - 1)
    Next i
    
    For i = 1 To nfwds
           Sumer(i) = Sumer(i) / Nsims
    Next i
    
End Sub

[dglienna]

Where is this Fn class?

[Bazman]

Set Fn = Application.WorksheetFunction

Its no a new class just a market for the exisiting one

[WoF]

I still do not understand the error message.
error 1004 unable to get the MMult property of the WorksheetFunction class...
Does it say there is no MMult property, or does the call of this property (or method) produce the error?
What type of parameters does the MMult expect?

[dglienna]

Well, the first problem is the declaration:

You have this:

Dim fwds, correls, Bm, Cm, hParams, gParams, ffCorrels, vvCorrels 

Dim Fn As Object
Dim dt As Double, T As Double, temp As Double

fwds, correls, and the rest are VARIANTS. If you want to give them a specific type, you need to do so like you did in the other two statements.

fwds as Double, correls as Long, etc...