计算指数加权移动平均数

Question

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following。不过，我认为我的功能有些错误，我无法查明，因为我没有得到正确的解决方案。

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 

我使用的值与目标挥发度（使用电子表格EWMA计算）是here。

我在做什么错？

更新：用罗恩·罗森菲尔德的解决方案：

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

这里做的VBA函数的一点点不同的方式。输入是价格数组，假设您按照降序显示，Lambda。我们希望，该变量的名称将让你看到的逻辑：

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 

与您的数据，它给出了相同的结果电子表格计算

（的数据类型的精度范围内）编辑

如果您想要输入3M CAD Zero Rates作为范围输入，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价格。在这种情况下，它将是：

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