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XLW XLL

omega1 (1)
Hi,

I'm trying to create an XLL using XLW http://xlw.sourceforge.net/ . Below is the VBA code that I need to convert to C++ so I can create the XLL using XLW. I'm new to C++. Does anyone know how to create a function and then call that function in another part of the code for an XLL? Could someone please provide some direction and example code on how this could be implemented? The actual VBA code im trying to implement in XLL using C++ is below.

From what I understand in regular C++ code you would declare a function and you could then call it in the Main() function, this doesn't seem to work when i try to do this when creating an XLL using XLW... for example in regular c++...

int subtraction (int a, int b)
{
int r;
r=a-b;
return (r);
}

int main ()
{
int x=5, y=3, z;
z = subtraction (7,2);
cout << "The first result is " << z << '\n';
cout << "The second result is " << subtraction (7,2) << '\n';
cout << "The third result is " << subtraction (x,y) << '\n';
z= 4 + subtraction (x,y);
cout << "The fourth result is " << z << '\n';
return 0;
}



Excel VBA code....



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Global Const Pi = 3.14159265358979

'// The normal distribution function
Public Function ND(X As Double) As Double
    ND = 1 / Sqr(2 * Pi) * Exp(-X ^ 2 / 2)
End Function


'// Cummulative double precision algorithm based on Hart 1968
'// Based on implementation by Graham
Function CND(X As Double) As Double
    Dim Y As Double, Exponential As Double, SumA As Double, SumB As Double
    
    Y = Abs(X)
    If Y > 37 Then
        CND = 0
    Else
        Exponential = Exp(-Y ^ 2 / 2)
        If Y < 7.07106781186547 Then
            SumA = 3.52624965998911E-02 * Y + 0.700383064443688
            SumA = SumA * Y + 6.37396220353165
            SumA = SumA * Y + 33.912866078383
            SumA = SumA * Y + 112.079291497871
            SumA = SumA * Y + 221.213596169931
            SumA = SumA * Y + 220.206867912376
            SumB = 8.83883476483184E-02 * Y + 1.75566716318264
            SumB = SumB * Y + 16.064177579207
            SumB = SumB * Y + 86.7807322029461
            SumB = SumB * Y + 296.564248779674
            SumB = SumB * Y + 637.333633378831
            SumB = SumB * Y + 793.826512519948
            SumB = SumB * Y + 440.413735824752
            CND = Exponential * SumA / SumB
        Else
            SumA = Y + 0.65
            SumA = Y + 4 / SumA
            SumA = Y + 3 / SumA
            SumA = Y + 2 / SumA
            SumA = Y + 1 / SumA
            CND = Exponential / (SumA * 2.506628274631)
        End If
  End If
  
  If X > 0 Then CND = 1 - CND

End Function



Public Function GImpliedVolatilityNR(CallPutFlag As String, S As Double, X _
As Double, T As Double, r As Double, B As Double, cm As Double, epsilon As Double)

    Dim vi As Double, ci As Double
    Dim vegai As Double
    Dim minDiff As Double

    'Manaster and Koehler seed value (vi)
    vi = Sqr(Abs(Log(S / X) + r * T) * 2 / T)
    ci = GBlackScholes(CallPutFlag, S, X, T, r, B, vi)
    vegai = GVega(S, X, T, r, B, vi)
    minDiff = Abs(cm - ci)
    
    While Abs(cm - ci) >= epsilon And Abs(cm - ci) <= minDiff
        vi = vi - (ci - cm) / vegai
        ci = GBlackScholes(CallPutFlag, S, X, T, r, B, vi)
        vegai = GVega(S, X, T, r, B, vi)
        minDiff = Abs(cm - ci)
    Wend

    If Abs(cm - ci) < epsilon Then GImpliedVolatilityNR = vi Else GImpliedVolatilityNR = "NA"
End Function






'//  The generalized Black and Scholes formula
Public Function GBlackScholes(CallPutFlag As String, S As Double, X _
                As Double, T As Double, r As Double, B As Double, v As Double) As Double

    Dim d1 As Double, d2 As Double
    d1 = (Log(S / X) + (B + v ^ 2 / 2) * T) / (v * Sqr(T))
    d2 = d1 - v * Sqr(T)

    If CallPutFlag = "c" Then
        GBlackScholes = S * Exp((B - r) * T) * CND(d1) - X * Exp(-r * T) * CND(d2)
    ElseIf CallPutFlag = "p" Then
        GBlackScholes = X * Exp(-r * T) * CND(-d2) - S * Exp((B - r) * T) * CND(-d1)
    End If
End Function






'// Vega for the generalized Black and Scholes formula
Public Function GVega(S As Double, X As Double, T As Double, r As Double, B As Double, v As Double) As Double
    
    Dim d1 As Double
    
    d1 = (Log(S / X) + (B + v ^ 2 / 2) * T) / (v * Sqr(T))
    GVega = S * Exp((B - r) * T) * ND(d1) * Sqr(T)
End Function




Public Function SkewKurtCorradoSuModified(CallPutFlag As String, S As Double, X As Double, _
        T As Double, r As Double, B As Double, v As Double, Skew As Double, Kurt As Double) As Double

        Dim Q3 As Double, Q4 As Double
        Dim d As Double, w As Double
        Dim CallValue As Double
     

        w = Skew / 6 * v ^ 3 * T ^ 1.5 + Kurt / 24 * v ^ 4 * T ^ 2
        d = (Log(S / X) + (B + v ^ 2 / 2) * T - Log(1 + w)) / (v * Sqr(T))
        Q3 = 1 / (6 * (1 + w)) * S * v * Sqr(T) * (2 * v * Sqr(T) - d) * ND(d)
        Q4 = 1 / (24 * 1 + w) * S * v * Sqr(T) * (d ^ 2 - 3 * d * v * Sqr(T) + 3 * v ^ 2 * T - 1) * ND(d)
       
        CallValue = GBlackScholes("c", S, X, T, r, B, v) + Skew * Q3 + (Kurt - 3) * Q4
        If CallPutFlag = "c" Then
            SkewKurtCorradoSuModified = CallValue
        Else '// Use put-call parity to find put value
            SkewKurtCorradoSuModified = CallValue - S * Exp((B - r) * T) + X * Exp(-r * T)
        End If
End Function





Public Function ESkewKurtCorradoSuModified(OutPutFlag As String, CallPutFlag As String, S As Double, X As Double, T As Double, _
                r As Double, B As Double, v As Double, Skew As Double, Kurt As Double, Optional dS)
            
  
    
    If IsMissing(dS) Then
        dS = 0.1
    End If
    
    
    
    If OutPutFlag = "p" Then ' Value
        ESkewKurtCorradoSuModified = SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r, B, v, Skew, Kurt)
    ElseIf OutPutFlag = "d" Then 'Delta
         ESkewKurtCorradoSuModified = (SkewKurtCorradoSuModified(CallPutFlag, S + dS, X, T, r, B, v, Skew, Kurt) - SkewKurtCorradoSuModified(CallPutFlag, S - dS, X, T, r, B, v, Skew, Kurt)) / (2 * dS)
    ElseIf OutPutFlag = "g" Then 'Gamma
        ESkewKurtCorradoSuModified = (SkewKurtCorradoSuModified(CallPutFlag, S + dS, X, T, r, B, v, Skew, Kurt) - 2 * SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r, B, v, Skew, Kurt) + SkewKurtCorradoSuModified(CallPutFlag, S - dS, X, T, r, B, v, Skew, Kurt)) / dS ^ 2
    ElseIf OutPutFlag = "v" Then 'Vega
         ESkewKurtCorradoSuModified = (SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r, B, v + 0.01, Skew, Kurt) - SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r, B, v - 0.01, Skew, Kurt)) / 2
     ElseIf OutPutFlag = "t" Then 'Theta
         If T <= 1 / 365 Then
                ESkewKurtCorradoSuModified = SkewKurtCorradoSuModified(CallPutFlag, S, X, 0.00001, r, B, v, Skew, Kurt) - SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r, B, v, Skew, Kurt)
        Else
                ESkewKurtCorradoSuModified = SkewKurtCorradoSuModified(CallPutFlag, S, X, T - 1 / 365, r, B, v, Skew, Kurt) - SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r, B, v, Skew, Kurt)
        End If
     ElseIf OutPutFlag = "r" Then 'Rho
         ESkewKurtCorradoSuModified = (SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r + 0.01, B + 0.01, v, Skew, Kurt) - SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r - 0.01, B - 0.01, v, Skew, Kurt)) / (2)
    ElseIf OutPutFlag = "fr" Then 'Futures options rho
         ESkewKurtCorradoSuModified = (SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r + 0.01, B, v, Skew, Kurt) - SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r - 0.01, B, v, Skew, Kurt)) / (2)
     ElseIf OutPutFlag = "f" Then 'Rho2
         ESkewKurtCorradoSuModified = (SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r, B - 0.01, v, Skew, Kurt) - SkewKurtCorradoSuModified(CallPutFlag, S, X, T, r, B + 0.01, v, Skew, Kurt)) / (2)
      
    End If

End Function
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