计算指数加权移动平均线

我正在尝试一个相当简单的函数来计算Excel VBA中的指数加权移动平均波动率。 但是，我觉得我的function有些错误，我不能确定，因为我没有得到正确的解决scheme。

Function EWMA(numbers As Range, Lambda As Single) As Double Dim mean As Double Dim x As Double Dim c As Range Dim n As Integer mean = WorksheetFunction.Average(numbers) n = WorksheetFunction.Count(numbers) For Each c In numbers x = x + (Lambda ^ (n - c.Count)) * ((c.Value - mean) ^ 2) Next c EWMA = (1 - Lambda) * x End Function 

我正在使用的价值和目标波动率（使用电子表格EWMA计算）在这里 。

我究竟做错了什么？

更新：使用Ron Rosenfeld的解决scheme：

 Option Explicit Function EWMA(Zero As Range, Lambda As Double) As Double Dim vZero As Variant Dim SumWtdRtn As Double Dim I As Long Dim vPrices As Variant Dim LogRtn As Double, RtnSQ As Double, WT As Double, WtdRtn As Double vZero = Zero For I = 2 To UBound(vZero, 1) vPrices = 1 / ((1 + vZero(I, 1)) ^ (3 / 12)) LogRtn = Log(vPrices(I - 1, 1) / vPrices(I, 1)) RtnSQ = LogRtn ^ 2 WT = (1 - Lambda) * Lambda ^ (I - 2) WtdRtn = WT * RtnSQ SumWtdRtn = SumWtdRtn + WtdRtn Next I EWMA = SumWtdRtn ^ (1 / 2) End Function 

Answer 1

这里有一个与VBA函数不同的方法。 input是一个价格数组，假定您按照降序显示，Lambda。 希望variables的名字能让你看到逻辑：

 Option Explicit Function EWMA2(Prices As Range, Lambda As Double) As Double Dim vPrices As Variant Dim dSumWtdRtn As Double Dim I As Long Dim dLogRtn As Double, dRtnSQ As Double, dWT As Double, dWtdRtn As Double vPrices = Prices For I = 2 To UBound(vPrices, 1) dLogRtn = Log(vPrices(I - 1, 1) / vPrices(I, 1)) dRtnSQ = dLogRtn ^ 2 dWT = (1 - Lambda) * Lambda ^ (I - 2) dWtdRtn = dWT * dRtnSQ dSumWtdRtn = dSumWtdRtn + dWtdRtn Next I EWMA2 = dSumWtdRtn ^ (1 / 2) End Function 

使用您的数据，它会得到与电子表格计算相同的结果（在数据types的精度范围内）

编辑

如果您想要input3M CAD Zero Rates作为范围input，而不是定价，那么您可以修改上述内容，以根据收益数据计算两个相关的价格。 在这种情况下，这将是：

 Option Explicit Function EWMAV(Zeros As Range, Lambda As Double) As Double Dim vZeros() As Variant Dim dPrice1 As Double, dPrice2 As Double Dim dSumWtdRtn As Double Dim I As Long Dim dLogRtn As Double, dRtnSQ As Double, dWT As Double, dWtdRtn As Double vZeros = Zeros For I = 2 To UBound(vZeros, 1) dPrice1 = 1 / ((1 + vZeros(I - 1, 1)) ^ (3 / 12)) dPrice2 = 1 / ((1 + vZeros(I, 1)) ^ (3 / 12)) dLogRtn = Log(dPrice1 / dPrice2) dRtnSQ = dLogRtn ^ 2 dWT = (1 - Lambda) * Lambda ^ (I - 2) dWtdRtn = dWT * dRtnSQ dSumWtdRtn = dSumWtdRtn + dWtdRtn Next I EWMAV = dSumWtdRtn ^ (1 / 2) End Function