VBA_Option (CallVolatility + ImpliedVarCovar)

Function dOne(Stock, Exercise, Time, Interest, sigma)

dOne = (Log(Stock / Exercise) + Interest * Time) / (sigma * Sqr(Time)) + 0.5 * sigma * Sqr(Time)

End Function

Function dTwo(Stock, Exercise, Time, Interest, sigma)

dTwo = dOne(Stock, Exercise, Time, Interest, sigma) - sigma * Sqr(Time)

End Function

Function BSCall(Stock, Exercise, Time, Interest, sigma)

BSCall = Stock * Application.NormSDist(dOne(Stock, Exercise, Time, Interest, sigma)) - Exercise * Exp(-

Time * Interest) * _

Application.NormSDist(dTwo(Stock, Exercise, Time, Interest, sigma))

End Function

Function callVolatility(Stock, Exercise, Time, Interest, Target)

High = 2

Low = 0

Do While (High - Low) > 0.0001

If BSCall(Stock, Exercise, Time, Interest, (High + Low) / 2) > Target Then

High = (High + Low) / 2

Else: Low = (High + Low) / 2

End If

Loop

callVolatility = (High + Low) / 2

End Function

Function ImpliedVolVarCov(varcovarmatrix As Range, volatilities As Range, corr As Double) As Variant

Dim i As Integer

Dim j As Integer
Dim numcols As Integer

numcols = varcovarmatrix.Columns.Count

numrows = numcols

Dim matrix() As Double

ReDim matrix(numcols - 1, numcols - 1)

If Abs(corr) >= 1 Then GoTo Out

For i = 1 To numcols

For j = 1 To numcols

If i = j Then

matrix(i - 1, j - 1) = volatilities(i) ^ 2

Else

matrix(i - 1, j - 1) = corr * volatilities(i) * volatilities(j)

End If

Next j

Next i

Out:

If Abs(corr) >= 1 Then ImpliedVolVarCov = “ERR” Else ImpliedVolVarCov = matrix

End Function
 VBA_Đường biên hiệu quả
Sub Solve()

SolverOk SetCell:="$C$28", MaxMinVal:=1, ValueOf:="0", ByChange:="$C$17:$C$24"

SolverSolve UserFinish:=True

End Sub

Sub Doit()

Range("Results").ClearContents

For counter = 1 To 40

Range("constant") = -0.15 + counter * 0.005

Solve

Application.SendKeys ("{Enter}")

Range("Results").Cells(counter, 1) = ActiveSheet.Range("constant")

Range("Results").Cells(counter, 2) = ActiveSheet.Range("portfolio_sigma")

Range("Results").Cells(counter, 3) = ActiveSheet.Range("portfolio_mean")

Range("Results").Cells(counter, 4) = ActiveSheet.Range("crm")

Range("Results").Cells(counter, 5) = ActiveSheet.Range("abbv")

Range("Results").Cells(counter, 6) = ActiveSheet.Range("mcd")

Range("Results").Cells(counter, 7) = ActiveSheet.Range("bmy")

Range("Results").Cells(counter, 8) = ActiveSheet.Range("tmo")

Range("Results").Cells(counter, 9) = ActiveSheet.Range("cost")

Range("Results").Cells(counter, 10) = ActiveSheet.Range("amgn")

Range("Results").Cells(counter, 11) = ActiveSheet.Range("mdt")

Next counter

End Sub

Private Sub benny()

i=1

Do Until (i = AddIns.Count) Or (AddIns(i).Name = "SOLVER.XLA")

i=i+1
 Loop

If (AddIns(i).Name = "SOLVER.XLA") Then

AddIns(i).Installed = True

j=1

Do Until (j = Application.VBE.ActiveVBProject.References.Count) Or _

(Application.VBE.ActiveVBProject.References(j).Name = "SOLVER.xla")

j=j+1

Loop

If (Application.VBE.ActiveVBProject.References(j).Name <> "SOLVER.xla") Then

Application.VBE.ActiveVBProject.References.AddFromFile AddIns(i).FullName

End If

Else

MsgBox Prompt:="Solver not found this workbook will not WORK", Buttons:=vbCritical

End If

End Sub

Private Sub Workbook_Open()

benny

End Sub

'8/5/2006 Thanks to Maja Sliwinski and Beni Czaczkes

Function getformula(r As Range) As String

Application.Volatile

If r.HasArray Then

getformula = "<-- " & " {" & r.FormulaArray & "}"

Else

getformula = "<-- " & " " & r.FormulaArray

End If

End Function

'8/5/2006 Thanks to Maja Sliwinski and Beni Czaczkes

Function ggetformula(r As Range) As String

 Application.Volatile

If r.HasArray Then

ggetformula = " {" & r.FormulaArray & "}"

Else

ggetformula = r.FormulaArray

End If

End Function
 Data: Câu 2: Báo cáo TC
CRM: https://s23.q4cdn.com/574569502/files/doc_financials/2020/ar/Salesforce-FY-2020-Annual-
Report.pdf?fbclid=IwAR0BNQhEt7v54wjR6M10CDGGSO4Eoa4rNnuLaKqamNaU384yEYq6YkvtarA

Trang 74: Balance Sheet, T75: Consolidated Statements of Operations: tìm về Tax rate

T109: mục 9 _Debt - Cost of Debt, T110: Interest Expense on Debt

ABBV: https://investors.abbvie.com/static-files/71f9318f-9a32-42ee-92ee-a34975edcd19
Trang 61: Balance Sheet, T59: Consolidated Statements of Earnings: tìm về Tax rate

T71: Interest Expense: số liệu interest expenses of ABBV, T79: Cost of Debt

MCD: https://corporate.mcdonalds.com/content/dam/gwscorp/nfl/investor-relations-content/annual-
reports/2019%20Annual%20Report.pdf?
fbclid=IwAR3t2C_UydF77WkAZZJiGh6N9oCgOgFpSdUrHrPaGbdoxW1zhtkeTwqVENk

Trang 40: Balance Sheet, T38: Consolidated Statement of Income: tìm về Tax rate, Interest expense

BMY: https://s21.q4cdn.com/104148044/files/doc_financials/annual_reports/2019/2019-BMS-
Annual-Report.pdf?fbclid=IwAR1NJhDnYi6KEwhbOzFIEpAgJo4TgeiOtEECKtp3fVHvBxa0z92I008ec7M

Trang 47: Balance Sheet, T46: Consolidated Statements of Earnings: tìm về Tax rate

T30: Số liệu về Interest Expense

TMO: https://s1.q4cdn.com/008680097/files/doc_financials/2019/ar/final/2019-Annual-Report.pdf?
fbclid=IwAR0SCOxS6DmVxZvcP3JXUAWlm04EvVdCdCGun3H3tkye0tehh2Il0VbAAqg

Trang 58: Balance Sheet, T59: Consolidated Statement of Income: tìm về Tax rate, Interest expense

COST: https://investor.costco.com/index.php/static-files/05c62fe6-6c09-4e16-8d8b-5e456e5a0f7e?
fbclid=IwAR0FWQZvTfsRhOx8kC46K07vPR5b5yqTN2JvIf1CqUIgV6I2kyYyBRU70O8

Trang 42: Balance Sheet, T43: Consolidated Statement of Income: tìm về Tax rate, Interest expense

T58: Mục Debt – Cost of Debt

AMGN: http://investors.amgen.com/static-files/d45cb739-9637-4e13-856c-e2fc29571032?
fbclid=IwAR36QCz2wTw4c9KgChvnh-onkfaNiYYkbUYpC5k2ACV-TqYh1qCqC_1QeuQ

Trang 103: Balance Sheet, T101: Consolidated Statement of Income: tìm về Tax rate, Interest expense

T130: Financing arrangements – Cost of debt

MDT: https://docoh.com/filing/1613103/0001613103-20-000021/MDT-10K-2020FY
Trang 62 - Mục 8 Balance Sheet, T60: Consolidated Statement of Income: tìm về Tax rate, Interest
expense
T80: Số liệu về debt để tính Cost of debt