Question

我使用Visual Studio 2013编译了一个dll，因此我可以在Excel中使用其中一个代码函数。

代码在编译为命令行应用程序时运行，运行时间为3秒，用于设置参数。在Excel中运行相同参数的函数需要永远（Excel冻结几分钟），然后返回＆＃34; 0＆＃34;。

代码由几个执行某些矩阵运算的函数和一个全局函数（它是唯一导出的函数）组成，它调用所有以前的函数并返回一个double。我还使用了两个C ++库：Eigen和Boost（包含在VS2013库目录中）。

导出的函数C ++代码：

double _stdcall globalMatrix(Eigen::DenseIndex gridsize, double maxExposure, 
        double volatility, double multiple, double riskFreeRate, double maturity, 
        double rebalancingPeriod, bool maxExp)
{
    Eigen::DenseIndex un, N = (Eigen::DenseIndex) maturity / rebalancingPeriod;
    double strike = 1.0, B = exp(- riskFreeRate * rebalancingPeriod), sum(0.0);
    Eigen::MatrixXd xjk, qz, q1z, qjk, q1jk, mjk;
    Eigen::VectorXd gri = grid(gridsize, maturity, maxExposure, rebalancingPeriod, riskFreeRate, volatility, un), congri, payoff(gridsize);

    for (Eigen::DenseIndex i = 0; i < gridsize; i++)
        payoff(i) = (strike - gri(i) > 0.0) ? (strike - gri(i)) : 0.0;

    for (Eigen::DenseIndex i = 1; i <= N; i++) {
        congri = conditionGrid(gri, multiple, riskFreeRate, maturity, N - i, rebalancingPeriod, maxExposure, maxExp);
        xjk = xjkMatrix(gri, congri, riskFreeRate, rebalancingPeriod);
        qz = qzMatrix(xjk, riskFreeRate, volatility, rebalancingPeriod);
        q1z = q1zMatrix(xjk, riskFreeRate, volatility, rebalancingPeriod);
        qjk = qjkMatrix(gri, congri, qz, riskFreeRate, rebalancingPeriod);
        q1jk = q1jkMatrix(gri, congri, qz, q1z, riskFreeRate, rebalancingPeriod);
        mjk = mjkMatrix(gri, qjk, q1jk);
        payoff = B * mjk * payoff;
    }

    return payoff(un);
}

VBA代码：

Private Declare PtrSafe Function globalMatrix Lib _
"C:\Users\sony\Documents\Visual Studio 2013\Projects\dllCPPI\x64\Release\dllCPPI.dll" (ByRef i As Integer, ByRef mex As Double, ByRef v As Double, ByRef m As Double, ByRef r As Double, ByRef T As Double, ByRef rb As Double, ByRef mee As Boolean) As Double

Public Function putValue(ByRef i As Integer, ByRef mex As Double, ByRef v As Double, ByRef m As Double, ByRef r As Double, ByRef T As Double, ByRef rb As Double, ByRef mee As Boolean) As Double

    putValue = globalMatrix(i, mex, v, m, r, T, rb, mee)

End Function

在Dependency Walker中打开dll会显示导出的函数，并且不会返回任何错误。

VS2013编译的dll不能在Excel上运行

0 个答案: