'Source:http://vba.wdfiles.

com/local--files/black-schole-european-option-with-gr
eeks/VBA_EuroOption_BlackScholes.txt
Option Compare Database
Option Explicit
'use enum for column OptionType
Public Enum ReturnValue
ValueBS = 1
DeltaBS = 3
GammaBS = 5
ThetaBS = 6
RhoBS = 8
VegaBS = 10
End Enum
'use enum for column OptionType
Public Enum OptionCalculation
Call_BlackSchole = 1
Put_BlackSchole = 2
End Enum
Private
Private
Private
Private
Private
Private
Private
Private

mOptionType As Long
mStrikePrice As Double
mSharePrice As Double
mTimeToExpiry As Double
mRiskFreeInterestRate As Double
mSigma As Double
mDividend As Double
mlngID As Long

Private Sub Class_Initialize()

'
'
'
'
'
'
'

mOptionType = 0
mStrikePrice = 0
mSharePrice = 0
mTimeToExpiry = 0
mR = 0
mRiskFreeInterestRate = 0
mSigma = 0

End Sub
Private Sub Class_Terminate()
''use?
End Sub
Public Property Get StrikePrice() As Double
StrikePrice = mStrikePrice
End Property
Public Property Let StrikePrice(dblVal As Double)
'verifies rate is between 0 and 1
If dblVal <= 0 Then

Err.Raise vbObjectError + 512, "European Option", "Strike price must be

greater than 0"
End If
mStrikePrice = dblVal
End Property
Public Property Get OptionType() As OptionCalculation
OptionType = mOptionType
End Property
Public Property Let OptionType(lngVal As OptionCalculation)
'verifies rate is between 0 and 1
If lngVal <> Call_BlackSchole And lngVal <> Put_BlackSchole Then
Err.Raise vbObjectError + 512, "European Option", "Option type not valid
."
End If
mOptionType = lngVal
End Property
Public Property Get SharePrice() As Double
SharePrice = mSharePrice
End Property
Public Property Let SharePrice(dblVal As Double)
'verifies rate is between 0 and 1
If dblVal < 0.00001 Then
Err.Raise vbObjectError + 512, "European Option", "Share price must be g
reater than 0.00001"
End If
mSharePrice = dblVal
End Property
Public Property Get TimeToExpiry() As Double
''mTimeToExpiry is in years, but converts back to days based on 365 daya calenda
r
TimeToExpiry = mTimeToExpiry * 365
End Property
Public Property Let TimeToExpiry(dblVal As Double)

''receives days, but converts to year based on 365 daya calendar

''requires value is greater than 0
'verifies rate is between 0 and 1
If dblVal <= 0 Then
Err.Raise vbObjectError + 512, "European Option", "Expiry must be greate
r than 0"
End If
mTimeToExpiry = dblVal / 365
End Property
Public Property Get RiskFreeInterestRate() As Double
RiskFreeInterestRate = mRiskFreeInterestRate
End Property
Public Property Let RiskFreeInterestRate(dblVal As Double)
''requires decimal interest rate, not percent
'verifies rate is between 0 and 1
If dblVal < 0 Or dblVal > 1 Then
Err.Raise vbObjectError + 512, "European Option", "Rate must be between
0 and 1, here 1 = 100%"
End If
mRiskFreeInterestRate = dblVal
End Property
Public Property Get Sigma() As Double
Sigma = mSigma
End Property
Public Property Let Sigma(dblVal As Double)
''requires decimal standard deviation
'verifies rate is between 0 and 1
If dblVal < 0 Or dblVal > 1 Then
Err.Raise vbObjectError + 512, "European Option", "Sigma (Standard Devia
tion) must be between 0 and 1"
End If
mSigma = dblVal
End Property
Public Property Get Dividend() As Double

Dividend = mDividend
End Property
Public Property Let Dividend(dblVal As Double)
'verifies dividend is between 0 and 1
If dblVal < 0 Or dblVal > 1 Then
Err.Raise vbObjectError + 512, "European Option", "Dividend must be betw
een 0 and 1"
End If
mDividend = dblVal
End Property
Private Sub Verify()
If mOptionType = 0 Then
Err.Raise vbObjectError + 512, "European Option", "Option type must
be defined."
ElseIf mStrikePrice = 0 Then
Err.Raise vbObjectError + 512, "European Option", "Strike Price must
be defined."
ElseIf mSharePrice = 0 Then
Err.Raise vbObjectError + 512, "European Option", "Share Price must
be defined."
ElseIf mTimeToExpiry = 0 Then
Err.Raise vbObjectError + 512, "European Option", "Time to Expiry mu
st be defined."
ElseIf mRiskFreeInterestRate = 0 Then
Err.Raise vbObjectError + 512, "European Option", "Risk Free Interes
t Rate must be defined."
ElseIf mSigma = 0 Then
Err.Raise vbObjectError + 512, "European Option", "Sigma (Standard D
eviation) must be defined."
End If
End Sub
Public Function Calculate(ByVal Command As ReturnValue) As Double
' Calculates the value of an European Option (Black-Scholes)
' Typ -> Call or Put
' Command -> Price, Delta, Gamma, Theta, Vega, Rho

Verify
mTimeToExpiry = Excel.WorksheetFunction.Max(0.00001, mTimeToExpiry)
Dim d1 As Double
Dim d2 As Double
Dim dblTempHolder As Double
dblTempHolder = 0
If (mSigma * mStrikePrice * mTimeToExpiry > 0) Then
d1 = Log(mSharePrice / mStrikePrice) + ((mRiskFreeInterestRate - mDivide
nd) + 0.5 * mSigma * mSigma) * mTimeToExpiry
d1 = d1 / (mSigma * Sqr(mTimeToExpiry))
d2 = d1 - mSigma * Sqr(mTimeToExpiry)
End If
Select Case Command
Case ValueBS
If mOptionType = Call_BlackSchole Then
Calculate = (mSharePrice * Exp(-mDividend * mTimeToExpiry) * Cum
ulativeDistributionFunction(d1)) - (Exp(-mRiskFreeInterestRate * mTimeToExpiry)
* mStrikePrice * CumulativeDistributionFunction(d2))
ElseIf mOptionType = Put_BlackSchole Then
Calculate = Exp(-mRiskFreeInterestRate * mTimeToExpiry) * mStrik
ePrice * CumulativeDistributionFunction(-d2) - mSharePrice * Exp(-mDividend * mT
imeToExpiry) * CumulativeDistributionFunction(-d1)
End If
Case DeltaBS
If mOptionType = Call_BlackSchole Then
Calculate = Exp(-mDividend * mTimeToExpiry) * CumulativeDistribu
tionFunction(d1)
ElseIf mOptionType = Put_BlackSchole Then
Calculate = Exp(-mDividend * mTimeToExpiry) * (CumulativeDistrib
utionFunction(d1) - 1)
End If
Case GammaBS
Calculate = nprime(d1) * Exp(-mDividend * mTimeToExpiry) / (mSharePr
ice * mSigma * Sqr(mTimeToExpiry))
Case ThetaBS

If mOptionType = Call_BlackSchole Then

dblTempHolder = -(mSharePrice * nprime(d1) * mSigma * Exp(-mDivi
dend * mTimeToExpiry) / 2 / Sqr(mTimeToExpiry))
dblTempHolder = dblTempHolder + (mDividend * mSharePrice * Cumul
ativeDistributionFunction(d1) * Exp(-mDividend * mTimeToExpiry))
dblTempHolder = dblTempHolder - (mRiskFreeInterestRate * mStrike
Price * Exp(-mRiskFreeInterestRate * mTimeToExpiry) * CumulativeDistributionFunc
tion(d2))
Calculate = dblTempHolder / 100
ElseIf mOptionType = Put_BlackSchole Then
dblTempHolder = -(mSharePrice * nprime(d1) * mSigma * Exp(-mDivi
dend * mTimeToExpiry) / 2 / Sqr(mTimeToExpiry))
dblTempHolder = dblTempHolder - (mDividend * mSharePrice * Cumul
ativeDistributionFunction(-d1) * Exp(-mDividend * mTimeToExpiry))
dblTempHolder = dblTempHolder + (mRiskFreeInterestRate * mStrike
Price * Exp(-mRiskFreeInterestRate * mTimeToExpiry) * CumulativeDistributionFunc
tion(-d2))
Calculate = dblTempHolder / 100
End If
dblTempHolder = 0
Case RhoBS
If mOptionType = Call_BlackSchole Then
Calculate = (mStrikePrice * mTimeToExpiry * Exp(-mRiskFreeIntere
stRate * mTimeToExpiry) * CumulativeDistributionFunction(d2)) / 100
ElseIf mOptionType = Put_BlackSchole Then
Calculate = (-mStrikePrice * mTimeToExpiry * Exp(-mRiskFreeInter
estRate * mTimeToExpiry) * CumulativeDistributionFunction(-d2)) / 100
End If
Case VegaBS
Calculate = (mSharePrice * Sqr(mTimeToExpiry / 3.1415926 / 2) * Exp(
-0.5 * d1 * d1) * Exp(-mDividend * mTimeToExpiry)) / 100
Case Else
Err.Raise vbObjectError + 512, "European Option", "Return value not
valid."
End Select
End Function
Public Function ValueArray() As Variant
ValueArray = Array(OptionType, SharePrice, StrikePrice, Sigma, TimeToExpiry,
RiskFreeInterestRate, Dividend, Calculate(ValueBS), Calculate(DeltaBS), Calcula
te(GammaBS), Calculate(ThetaBS), Calculate(VegaBS), Calculate(RhoBS))

End Function
Private Function CumulativeDistributionFunction(x As Double) As Double
Dim
Dim
Dim
Dim

d
a
b
c

As
As
As
As

d
a
b
c

=
=
=
=

Double
Double
Double
Double
1 / (1 + 0.33267 * Abs(x))
0.4361836
-0.1201676
0.937298

CumulativeDistributionFunction = 1 - 1 / Sqr(2 * 3.1415926) * Exp(-0.5 * x *

x) * (a * d + b * d * d + c * d * d * d)
If x < 0 Then CumulativeDistributionFunction = 1 - CumulativeDistributionFun
ction
End Function
Private Function nprime(x As Double) As Double
nprime = Exp(-0.5 * x * x) / Sqr(2 * 3.1415926)
End Function