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

[amri]

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!

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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

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EDIT: The function takes to matrices as input, excessMu and Sigma (yes it's Markowitz analysis hehe)

[Aflatoon]

The operators +-*/ do not work with arrays.

[SamT]

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

[Aflatoon]

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

[SamT]

I just have one question
What are financial functions ?

[Paul_Hossler]

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_Hossler]

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