error 1004

[Bazman]

Hi there,

Same code as earlier different problem:

This code runs fine for the most part but every now and again is stop with error 1004.

Unable to get the NomInv property of the worksheet function

At either of the lines:

difFwd = Sqr(dt) * correls(i, j) * Fn.NormInv(Rnd(), 0, 1)
difVvol = Sqr(dt) * correls(nfwds + i, j) * Fn.NormInv(Rnd(), 0, 1)

It seems that some values that rnd() is producing is upsetting NormInv?

Can someone explain?

Sub SABRLMM()

Dim fwds, correls, Bm, Cm, hParams, gParams, ffCorrels, vvCorrels, fvCorrels, exps, K, Beta As Variant
Dim Fn As Object
Dim nfwds, Nsims, numeraire, i, alpha, x As Integer
Dim dt, t, temp, tau 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)

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

Cm = Range("Cm").Value

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



Dim strike As Double
strike = 0.05601844



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 = 1 To nFactors
        
                        difFwd = Sqr(dt) * correls(i, j) * Fn.NormInv(Rnd(), 0, 1)
                        difVvol = Sqr(dt) * correls(nfwds + i, j) * Fn.NormInv(Rnd(), 0, 1)
            
                    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) + Fn.Max(totFwds(i) - strike, 0)
    Next i
    
Next x

    For i = 1 To nfwds
        Sumer(i) = Sumer(i) / Nsims
    Next i
    
    
    
End Sub

[Dave]

Perhaps dimming your variables would help? Maybe XL is unsure if the range is a value or string on some occasions? Dave

[Bazman]

You are right about the dimming but the problem here seems to be that if Rnd=0 then NormInv can't handle it

[austenr]

Sample workbook?

[austenr]

Try dimming Fn as type Variant.

[Bazman]

hi there,

happy to go back and test these thing and share the results, but right now I got a deadline looming.