Modified McCauley Duration From VBA?

P

(PeteCresswell)

I tried posting this in ...Excel.Programming, but no luck...and
I'm getting desperate - with a 16:30 deadline tomorrow for some
proof-of-concept code.
----------------------------------------------------------
Typed into a cell, this works:

=MDURATION("1/1/2008", "1/1/2016", ".08", ".09", "2", "1")

But I want to invoke the calc from afar (specifically MS Access
VBA).

I can instantiate a copy of Excel, and invoke other routines like
"MIN", but am not having any luck with "MDURATION" and, indeed,
it does not appear in the code completion dropdown for
WorksheetFunction.mDuration

Sounds like I'm out of luck.

Or am I?

For the maschocistically inclined, here's the offending code
(which looks it's best rendered in a monospaced font) - but
all I really want to know is whether or not I can call
MDURATION from VBA code and, if so, what the syntax would be....

--------------------------------------------------------------------------------------------------
Public Function MDURATION_Excel(ByVal theValues As String) As
Variant
8000 debugStackPush mModuleName & ": MDURATION_Excel"
8001 On Error GoTo MDURATION_Excel_err

' PURPOSE: To invoke MS Excel's "MDURATION" (Modified McCauley
duration) function"
' ACCEPTS: A list of values as a string delimintated by commas
' The values are:
' - Settlement Date
' - Maturity Date
' - Coupon percent
' - Yield percent
' - Payment Frequency
' 0 = 3./360
' 1 = Actual/Actual
' 2 = Actual/360
' 3 = Actual/365
' 4 = European 30/360

' RETURNS: Result of Excel.MDURATION calculation
'
' SAMPLE:
' -----------------------------------------
' MS Excel's Help e.g.
' =MDURATION("1/1/2008", "1/1/2016", ".08", ".09", "2",
"1")
' 5.73567

' translated to call syntax for this routine:
' ?MDURATION_Excel("1/1/2008, 1/1/2016, .08, .09, 2, 1")

8002 Dim myArray() As String

Dim i As Long
Dim myResult As Double

8003 If Len(theValues) > 0 Then
8010 If Excel_Start(gExcelApp) = True Then
8011 ParseToArrayOfString theValues, ",",
myArray 'Put values in format acceptable to Excel
8912 myResult =
gExcelApp.WorksheetFunction.mDuration(myArray)
8913 MDURATION_Excel = myResult
8919 End If
8990 Else
8991 MDURATION_Excel = "na"
8999 End If

MDURATION_Excel_xit:
DebugStackPop
On Error Resume Next
Exit Function

MDURATION_Excel_err:
BugAlert True, ""
Resume MDURATION_Excel_xit
End Function



Public Function ParseToArrayOfString(ByVal theStringToBeParsed As
String, ByVal theDelimiter As String, ByRef theArray() As String)
As
Long
1000 debugStackPush mModuleName & ": ParseToArrayOfString"
1001 On Error GoTo ParseToArrayOfString_err

' PURPOSE: To parse a Delimited string into an array
' ACCEPTS: - String to be parsed
' - Delimiter between items in the string
' - Address of the array that results will be
delivered to
' RETURNS: The number of items copied to the array or -1
' SETS: The contents of the array specified
'
' CALLING CONVENTION:
' ReDim Items(20)
' ItemCount = ParseToArrayOfString("this, is, a string,
delimited, by, commas",Items(),",")

1003 Dim P As Integer
Dim i As Integer
Dim newSize As Integer

Const textComparison = 1

1010 If Len(theStringToBeParsed & "") > 0 Then
1020 If theDelimiter = ""
Then 'Check for
valid
theDelimiteriter
1030 ParseToArrayOfString = -1
1040 Else
1041 If Len(theStringToBeParsed) < 1 Then
1042 ParseToArrayOfString = -1
1043 Else
1050 i = 0
1060 P = InStr(1, theStringToBeParsed, theDelimiter,
textComparison)
1061 If P = 0
Then 'Oops!
Only
one item, no delimiter
1062 i = 1
1063 ReDim Preserve theArray(i)
1064 theArray(0) = theStringToBeParsed
1065 Else
1070 Do While P >
0 'Copy all
items
except last
1080 newSize = i + 1
1090 ReDim Preserve theArray(newSize)
1100 theArray(LBound(theArray) + i) = Left$
(theStringToBeParsed, P - 1)
1110 i = i + 1
1120 theStringToBeParsed =
Mid$(theStringToBeParsed, P
+ 1)
1130 P = InStr(1, theStringToBeParsed,
theDelimiter,
textComparison)
1140 Loop

1150 theArray(LBound(theArray) + i) =
theStringToBeParsed 'Copy Last Item
1160 i = i + 1
1165 End If
1170 ParseToArrayOfString = i
1997 End If
1998 End If
1999 End If

ParseToArrayOfString_xit:
DebugStackPop
On Error Resume Next
Exit Function

ParseToArrayOfString_err:
ParseToArrayOfString = -1
BugAlert True, ""
Resume ParseToArrayOfString_xit
End Function


Public Function Excel_Start(ByRef theSS As Excel.Application) As
Boolean
3000 debugStackPush mModuleName & ": Excel_Start: "
3001 On Error GoTo Excel_Start_err

' PURPOSE: - Start an instance of MS Excel or use an existing
instance
' - Leave "theSS" pointing to the Excel Basic engine
' behind the newly-opened document
' ACCEPTS: - Pointer to the spreadsheet TB used by calling
routine
' RETURNS: True/False depending on success
'
' NOTES: 1) We do not want to keep opening up new instances
of
Excel every time this routine
' is called, so we do the "= Nothing" check to see
if
theSS has already been set.
' OTHO the user may have closed that instance of
Excel,
leaving theSS pointing to
' Neverneverland. Experimentation shows that an
error
2753 is generated in this case.
' Hence the error trap and the "userClosedExcel"
switch.
'
'SAMPLE:
' ?SpreadSheetOpenExisting("D:\Dev\SEI\DataSource
\BuySell.xls", gExcelApp)

3002 Dim userClosedExcel As Long
Dim serverNotExist As Long
Dim okToProceed As Boolean

Const oleError = 2753
Const rpcServerUnavailable = -2147023174
Const remoteServerNotExist = 462
Const docAlreadyOpen = 1004

Excel_Start_loop:
' ---------------------------------------------------
' Create an instance of Excel

3010 If (theSS Is Nothing) Or (userClosedExcel = 1) Then
3011 Set theSS = CreateObject("Excel.Application")
'3012 With theSs
'3013 .Workbooks.Add
'3014 .ScreenUpdating = True
'3015 .Visible = True
'3016 End With
3019 End If

' ---------------------------------------------------
' Open up the spreadsheet


3999 Excel_Start = True

Excel_Start_xit:
DebugStackPop
On Error Resume Next
Exit Function

Excel_Start_err:
Select Case Err
Case 2772
MsgBox "Unable to locate Microsoft Excel program. Please
notify your administrator", 16, "Cannot Open MS Excel"
Resume Excel_Start_xit
Case oleError, rpcServerUnavailable
If userClosedExcel = 0 Then
userClosedExcel = userClosedExcel + 1
Resume Excel_Start_loop
Else
BugAlert True, "Unable to open MS Excel. Suspect
user
may have closed existing instance."
Resume Excel_Start_xit
End If
Case remoteServerNotExist
If serverNotExist = 0 Then
serverNotExist = serverNotExist + 1
Set theSS = Nothing
Resume Excel_Start_loop
Else
BugAlert True, "Unable to open MS Excel. Suspect
user
may have closed existing instance."
Resume Excel_Start_xit
End If

Case docAlreadyOpen
BugAlert True, ""

Case Else
BugAlert True, ""
Resume Excel_Start_xit
End Select
Resume Excel_Start_xit 'Shouldn't be needed, but just
in
case.....
End Function
 
J

James A. Fortune

(PeteCresswell) said:
I tried posting this in ...Excel.Programming, but no luck...and
I'm getting desperate - with a 16:30 deadline tomorrow for some
proof-of-concept code.
----------------------------------------------------------
Typed into a cell, this works:

=MDURATION("1/1/2008", "1/1/2016", ".08", ".09", "2", "1")

But I want to invoke the calc from afar (specifically MS Access
VBA).

I can instantiate a copy of Excel, and invoke other routines like
"MIN", but am not having any luck with "MDURATION" and, indeed,
it does not appear in the code completion dropdown for
WorksheetFunction.mDuration

Sounds like I'm out of luck.

Or am I?
Click to expand...

First try:

Excel.WorksheetFunction.MDURATION("1/1/86", "1/1/94", 0.08, 0.09, 2, 1)

after setting a reference to the Excel Object Library.

If that is not supported (I couldn't find the add-in on mine) then here
is a rough start to an Access version:

'---Begin Module code---
Public Function MDuration(dtSettlement As Date, dtMaturity As Date,
PercentCoupon As Double, PercentYield As Double, intTimesPerYear As
Integer, intBasis As Integer) As Variant
MDuration = Duration(dtSettlement, dtMaturity, PercentCoupon,
PercentYield, intTimesPerYear, intBasis) / (1 + (PercentYield /
intTimesPerYear))
End Function

Public Function Duration(dtSettlement As Variant, dtMaturity As Variant,
PercentCoupon As Double, PercentYield As Double, intTimesPerYear As
Integer, intBasis As Integer) As Variant
Dim NPer As Integer
Dim iPer As Integer
Dim t As Double
Dim dblPV As Double
Dim dblPVtSum As Double
Dim dblYield As Double

Duration = "#Num!"
If Not IsDate(dtSettlement) Then Exit Function
If Not IsDate(dtMaturity) Then Exit Function
If PercentCoupon < 0 Then Exit Function
If PercentYield < 0 Then Exit Function
If intTimesPerYear <> 1 And intTimesPerYear <> 2 And intTimesPerYear <>
4 Then Exit Function
If intBasis < 0 Or intBasis > 4 Then Exit Function
If DateDiff("d", dtMaturity, dtSettlement) >= 0 Then Exit Function

'Basis is the type of day count basis to use.

'Basis Day count basis
'0 or omitted US (NASD) 30/360 'I didn't make it Optional. You can.
'1 Actual/actual
'2 Actual/360
'3 Actual/365
'4 European 30 / 360

Select Case intBasis
Case 0:
'This needs some date manipulation when start and end dates are on
the 31st -> 1st of next month
NPer = Round(DateDiff("d", dtSettlement, dtMaturity) *
intTimesPerYear / 360#, 0)
Case 1:
'Perhaps 365.25 is closer to what they had in mind, I used 365 + 1/4
- 1/100 + 1/400
NPer = Round(DateDiff("d", dtSettlement, dtMaturity) *
intTimesPerYear / 365.2425, 0)
Case 2:
NPer = Round(DateDiff("d", dtSettlement, dtMaturity) *
intTimesPerYear / 360#, 0)
Case 3:
NPer = Round(DateDiff("d", dtSettlement, dtMaturity) *
intTimesPerYear / 365#, 0)
Case 4:
'This needs some date manipulation when start and end dates are on
the 31st -> 30th
NPer = Round(DateDiff("d", dtSettlement, dtMaturity) *
intTimesPerYear / 360#, 0)
End Select
dblPVtSum = 0
For iPer = 1 To NPer
t = iPer / intTimesPerYear
dblYield = PercentYield * 100 / intTimesPerYear
If iPer <> NPer Then
dblPV = dblYield / (1 + PercentYield / intTimesPerYear) ^ iPer
Else
dblPV = (dblYield + 100#) / (1 + PercentYield / intTimesPerYear) ^ iPer
End If
dblPVtSum = dblPVtSum + dblPV * t
Next iPer
dblPVtSum = dblPVtSum / 100#
Duration = dblPVtSum
End Function
'----End Module code----

The Year Basis definitions I found are from:

http://www.codecogs.com/pages/standards/examples/example_3.htm

That coder, Alwyn Tan, simply calculates how many days are the year in
question by seeing whether it is a leap year or not. I haven't given
much thought yet as to the most accurate method. I hope this provides a
starting point. It gave essentially the same numbers as the help file
samples. I didn't do any testing beyond that.

James A. Fortune
(e-mail address removed)
 
J

James A. Fortune

James said:
samples. I didn't do any testing beyond that.
Click to expand...

That's not quite true. I also used it on the example here:

http://www.finpipe.com/duration.htm

and got quite close to the same results. Also, I'm still not sure about
how the 8 percent coupon in the Excel Help example fits in with
everything. I just ignored it. Maybe one percentage is used to
calculate the PV for the yield values and the other is used to calculate
the PV for the $100.00 par value at the end, but that's only a guess.

James A. Fortune
(e-mail address removed)
 
T

Tom Wickerath

Hi Pete,

Does this work for you?


Option Compare Database
Option Explicit

Public Function MDURATION_Excel _
(SettlementDate As String, _
MaturityDate As String, _
CouponPercent As Single, _
YieldPercent As Single, _
PaymentFrequency As Integer, _
FrequencyType As Integer) _
As Variant

On Error GoTo ProcError

' PURPOSE: To invoke MS Excel's "MDURATION"
' (Modified McCauley duration) function"
' ACCEPTS: Two dates as strings & four numbers, comma delimited
' The values are:
' - Settlement Date
' - Maturity Date
' - Coupon percent
' - Yield percent
' - Payment Frequency
' 0 = 3./360
' 1 = Actual/Actual
' 2 = Actual/360
' 3 = Actual/365
' 4 = European 30/360

' Example from Immediate Window
' ?MDURATION_Excel("1/1/2008", "1/1/2016", 0.08, 0.09, 2, 1)
' Result = 5.73566980400009

Dim xlApp As Excel.Application
Dim xlBook As Excel.Workbook
Dim ExcelRunning As Boolean

ExcelRunning = IsExcelRunning()
If ExcelRunning Then
Set xlApp = GetObject(, "Excel.Application")
Else
Set xlApp = CreateObject("Excel.Application")
End If

Set xlBook = xlApp.Workbooks.Add()

xlApp.RegisterXLL xlApp.Application.LibraryPath & _
"\ANALYSIS\ANALYS32.XLL"

MDURATION_Excel = _
xlApp.Run("MDURATION", _
SettlementDate, MaturityDate, _
CouponPercent, YieldPercent, _
PaymentFrequency, FrequencyType)

ExitProc:
On Error Resume Next
xlApp.ActiveWorkbook.Close
Set xlBook = Nothing 'Release the workbook

If Not ExcelRunning Then
xlApp.Quit: Set xlApp = Nothing 'Release the application.
End If

Exit Function
ProcError:
MsgBox "Error " & Err.Number & ": " & Err.Description, _
vbCritical, "Error in MDURATION_Excel Function..."
MDURATION_Excel = "na"
Resume ExitProc
End Function

Function IsExcelRunning() As Boolean
Dim xlApp As Excel.Application
On Error Resume Next
Set xlApp = GetObject(, "Excel.Application")
IsExcelRunning = (Err.Number = 0)
Set xlApp = Nothing
Err.Clear
End Function



Tom Wickerath
Microsoft Access MVP
https://mvp.support.microsoft.com/profile/Tom
http://www.access.qbuilt.com/html/expert_contributors.html
__________________________________________

(PeteCresswell) said:
I tried posting this in ...Excel.Programming, but no luck...and
I'm getting desperate - with a 16:30 deadline tomorrow for some
proof-of-concept code.
----------------------------------------------------------
Click to expand...

<snip>
 
P

PeteCresswell

Thanks James.

Thanks Tom.

Between the two of you, I think I'm going to be home free by COB.
------------------------------------------------------------------------
James:
By some miracle, when I un-wrapped the code it worked right out of
the box.
Numbers are a little off vis-a-vis Excek, but that's just some
digging
on my part.

Tom:
First I tried Application.Run with
just .AddIns("Analysis ToolPak").Installed = True and, of course,
it threw an error - something like "Macro not found".

Then I did it your way all the way with .RegisterXLL and it seemed
to find
the "MDURATION" macro - albeit returning an Error 2015.

Once I figure out what that means, I might be up and running via
Excel.
-----------------------------------------------------------------------

I'll put a couple hours into Tom's Excel route in hopes of not re-
inventing
the MDURATION wheel. If that doesn't work, I'll start tweaking James'
code.

Again, my heartfelt thanks to you both!!!
 
P

(PeteCresswell)

Per Tom Wickerath said:
Make sure you submit valid dates to the function. I was able to generate
Error 2015 using this example, with an invalid date:

?MDURATION_Excel("1/1/2008l", "1/1/2016", 0.08, 0.09, 2, 1)
Click to expand...

Good catch. I also trapped out when I specified a maturity date
that proceeded the settlement date..... but that's what error
checking and validation are for.... -)
 
P

(PeteCresswell)

Per Tom Wickerath said:
I was able to generate
Click to expand...

I'm also getting rather large diffs from Bloomberg for some
regular bonds and for callable bonds.

Once I survive the 16:30 meeting that's coming up, first thing
I'll do is double check that we're feeding the same stuff to
Bloomie and my little routine.

Then I think I'll play with James' code tonite and see what kind
of diffs I come up with there - the hoped-for advantage being the
ability to maybe deal with a wider range of possibilities than
Excel's function can.
 
J

James A. Fortune

PeteCresswell said:
Thanks James.

Thanks Tom.

Between the two of you, I think I'm going to be home free by COB.
Click to expand...

Pete,

I believe in miracles, but I try not to make my code or inventions
depend on them :).

James A. Fortune
(e-mail address removed)

Design your devices, and your life, for steady-state operation. -- Dr.
Gil Wedekind
 
P

(PeteCresswell)

Per Tom Wickerath said:
Did you get my code to work without generating any errors? (It works on my
PC, using Windows 2000 SP-4 with Access 2003 unpatched).
Click to expand...

Yes - for the nine bonds that I have in my little test harness.

MDURATION_Excel_TestHarness
----------------------------------------
31331VAQ9 FFCB (callable: ne .0243032264963497 vs BB's 5.6170
Diff Days = -2013.0000000000000 Diff Percent = 366.67
3133XFLE4 FHLB?????????????? 2.49689940593026 vs BB's 2.4890
Diff Days = 3.0000000000000 Diff Percent = 000.33
3133XGDD3 FHLB 3.50499621512252 vs BB's 3.4980
Diff Days = 3.0000000000000 Diff Percent = 000.24
3134A4VB7 FHLMC 2.6161241458217 vs BB's 2.6080
Diff Days = 3.0000000000000 Diff Percent = 000.32
3134A4QD9 FHLMC 4.21480388584064 vs BB's 4.2070
Diff Days = 2.0000000000000 Diff Percent = 000.13
3137EAAX7 FHLMC 2.6972028317729 vs BB's 2.6800
Diff Days = 6.0000000000000 Diff Percent = 000.62
3137EAAF6 FHLMC 3.42743477098654 vs BB's 3.4190
Diff Days = 3.0000000000000 Diff Percent = 000.24
3134A4JT2 FHLMC 3.78515515390294 vs BB's 3.7770
Diff Days = 3.0000000000000 Diff Percent = 000.22
3128X5C48 FHLMC MTN 2.20757410517533 vs BB's 2.1990
Diff Days = 3.0000000000000 Diff Percent = 000.38
----------------------------------------

The only real bad boy so far is a callable bond where I took a
SWAG and plugged NextResetDate into MaturityDate.... to no
apparent avail.

I'm now slogging through Bloomberg screens for about fifty more -
dutifully capturing BB's view of each into a grid that I then
Copy/Past into my test data table.

Once I get that populated, I'll clone the test harness and try
the same thing on James' routine - just for grins.
 

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