I´m trying to write code for the heston model in VBA, I follow the example given by the book Option pricing models & volatility (Using excel & VBA), I´m using the closed form approach, so no monte carlo simulation is needed. First I have to write the code for two complex intergrals and that does not seem to work, below is the code for the first integral, can anybody see what´s wrong? The error message in excel is "Compile error: Sub or Function not defined"
CODE:
Function HestonP1(phi, kappa, theta, lambda, rho, sigma, tau, K, S, r, v)
mu1 = 0.5
b1 = set_cNum(kappa + lambda - rho * sigma, 0)
d1 = cNumSqrt(cNumSub(cNumSq(cNumSub(set_cNum(0, rho * sigma * phi), b1)), cNumSub(set_cNum(0, sigma ^ 2 * 2 * mu1 * phi), set_cNum(sigma ^ 2 * phi ^ 2, 0))))
g1 = cNumDiv(cNumAdd(cNumSub(b1, set_cNum(0, rho * sigma * phi)), d1), cNumSub(cNumSub(b1, set_cNum(0, rho * sigma * phi)), d1))
DD1_1 = cNumDiv(cNumAdd(cNumSub(b1, set_cNum(0, rho * sigma * phi)), d1), set_cNum(sigma ^ 2, 0))
DD1_2 = cNumSub(set_cNum(1, 0), cNumExp(cNumProd(d1, set_cNum(tau, 0))))
DD1_3 = cNumSub(set_cNum(1, 0), cNumProd(g1, cNumExp(cNumProd(d1, set_cNum(tau, 0)))))
DD1 = cNumProd(DD1_1, cNumDiv(DD1_2, DD1_3))
CC1_1 = set_cNum(0, r * phi * tau)
CC1_2 = set_cNum((kappa * theta) / (sigma ^ 2), 0)
CC1_3 = cNumProd(cNumAdd(cNumSub(b1, set_cNum(0, rho * sigma * phi)), d1), set_cNum(tau, 0))
CC1_4 = cNumProd(set_cNum(2, 0), cNumLn(cNumDiv(cNumSub(set_cNum(1, 0), cNumProd(g1, cNumExp(cNumProd(d1, set_cNum(tau, 0))))), cNumSub(set_cNum(1, 0), g1))))
cc1 = cNumAdd(CC1_1, cNumProd(CC1_2, cNumSub(CC1_3, CC1_4)))
f1 = cNumExp(cNumAdd(cNumAdd(cc1, cNumProd(DD1, set_cNum(v, 0))), set_cNum(0, phi * Application.Ln(S))))
HestonP1 = cNumReal(cNumDiv(cNumProd(cNumExp(set_cNum(0, -phi * Application.Ln(K))), f1), set_cNum(0, phi)))
End Function