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Thread: Matrix multiplication in VBA (not the application. one)

  1. #1
    VBAX Newbie
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    Matrix multiplication in VBA (not the application. one)

    Hello everyone

    I'm currently building a set of VBA functions to calculate some financial stuff. I have to do a lot of matrix multiplication, and i've ran into a very annoying issue. I'm sure it's just me who doesn't understand how VBA works properly yet.

    So, in this example, i'm calculating a scalar from a set of matrices. My issue is, however, that i simply does not work. The nominator and denominator calculates perfectly seperatly and i can also output them - but i cannot take the fraction between them. Also, just to test if it was a general problem i noticed that i cannot subtract, multiply them either. So i suppose that i'm doing something generally wrong. Here's my code

    Can anyone explain to me what i'm doing wrong? Help is greatly appreciated as this really annoys me!

    -----------------------------------------------------------------------------
    Public Function TMVMuTanN(ExcessMu As Variant, Sigma As Variant) As Variant
    
    
        Dim onevector As Variant
        ReDim onevector(1 To 3, 1 To 1)
        Dim i As Double
    
    
           onevector(1, 1) = 1
           onevector(2, 1) = 1
           onevector(3, 1) = 1
    
    
        With Application.WorksheetFunction
        TMVMuTanN = (.MMult(.MMult(.Transpose(onevector), .MInverse(Sigma)), ExcessMu)) / (.MMult(.MMult(.Transpose(ExcessMu), .MInverse(Sigma)), ExcessMu))
        End With
        
    End Function
    -----------------------------------------------------------------------------

    EDIT: The function takes to matrices as input, excessMu and Sigma (yes it's Markowitz analysis hehe)
    Last edited by SamT; 06-10-2015 at 06:32 AM.

  2. #2
    VBAX Master Aflatoon's Avatar
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    The operators +-*/ do not work with arrays.
    Be as you wish to seem

  3. #3
    Moderator VBAX Wizard SamT's Avatar
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    Break it down
    Sub a()
    Dim Nomin As Double
    Dim Denom As Double
    Dim WsF As Object
    Set WsF = Application.WorksheetFunction
    
    With WsF
            Nomin = (.MMult(.MMult(.Transpose(onevector), .MInverse(Sigma)), ExcessMu))
            Denom = (.MMult(.MMult(.Transpose(ExcessMu), .MInverse(Sigma)), ExcessMu))
    End With
    
    TMVMuTanN = Nomin / Denom
    End Sub
    I always expect the student to do their homework and find all the errrors I leeve in.

    Please take the time to read the Forum FAQ

  4. #4
    VBAX Master Aflatoon's Avatar
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    That still won't work since MMult always returns an array. If the array contains only one value, then you could use:
        With WsF
             Nomin = (.MMult(.MMult(.Transpose(onevector), .MInverse(Sigma)), ExcessMu))(1)
            Denom = (.MMult(.MMult(.Transpose(ExcessMu), .MInverse(Sigma)), ExcessMu))(1)
        End With
    Be as you wish to seem

  5. #5
    Moderator VBAX Wizard SamT's Avatar
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    I just have one question
    What are financial functions ?
    I always expect the student to do their homework and find all the errrors I leeve in.

    Please take the time to read the Forum FAQ

  6. #6
    VBAX Wizard
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    1. I don't think you divide Nomin by Denom. I think you multiple Nomin by the inverse of Denom

    2. As to the 'scaler', do you mean the matrix determinate? if so you can use the MDETERM() function after #1

    Forgetting the VBA and Excel functions for a minute -- what is the formula in words / math?

    And as check, do you have inputs that provide a known answer?
    Paul

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  7. #7
    VBAX Wizard
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    http://epublications.bond.edu.au/cgi...&context=ejsie

    "A Simple Spreadsheet-Based Exposition of the Markowitz Critical Line Method for Portfolio Selection"

    Over my head but at least it has 'spreadsheet' in the title
    Paul

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