CTA - 08 Arrays, Recursion, Annuities.16

Arrays
Recursion
Giovanni Zucchinetti
giovanni.zucchinetti@gitec.ch
Adapted from the course « Notions informatiques – Modèles de calcul »

with kind permission from Prof. Yves Pigneur and Dr. Gabor Maksay
HEC Lausanne
Computanional Tools for Actuaries (CTA)
1
Agenda
1. Arrays
2. Recursive function call
2
Arrays in VBA
HEC Lausanne
Using Arrays : when and why
• Arrays store series of data that can be

manipulated or referred to later.
• The set of values stored in an array must all be

of the same data type.
• You can refer to the array as a whole or you can

refer to its individual elements by an index
value.
CTA - G. Zucchinetti 4
Arrays - Definition
• To define an array, we can use the Dim, Private, or Public
variable declarations.
• There is not an array data type however.

- The array will be named and the data type will be assigned to all
of the elements in that array.
• VBA will recognize that your variable is an array and not a

scalar variable because you must specify the size of the array
in the variable declaration.
• Here is a quick example of defining an array of double data

type, which has 10 elements and is named data.
- Dim data(10) As Double
Array - Values
To insert values into this array, we can use the entire array variable and
the Array function.
The Array function allows you to list values for each array element.
For example to insert 10 values into the data array, we could type the
following.
data = Array(12.3, 13.4, 16.5, 13.8, 7, 2.9, 24.2, 5.5, 8, 9.1)
Array - Values
To set the value of a specific element of the array, we use an index.
For example, if we want to change the third value in the above data
array from 16.5 to 10.5, we type.
- data(3) = 10.5
To enter multiple element values using indices, we use a For, Next

loop with a counter variable.
For example, if we want to set each element in the data array as its
index number we type.
For i = 1 to 10
data(i) = I
Next i
Size : Multi-dimensional Arrays
For a one-dimensional array, a single number is all that is necessary to
specify the size.
To define multi-dimensional arrays, you just need to specify the size of

each dimension, separated by a comma.
For example, if we want to define a two-dimensional array of size 5 by

10 (number of rows by number of columns) we could type
Dim data(5, 10) As Double
Multi-dimensional (cont’d)
To insert values into a multi-dimensional array or to search for a value,
use nested For, Next loops with different counter variables.
For example, to set the value of each element in the above two-
dimensional array equal to the product of its index numbers.
For i = 1 to 5
For j = 1 to 10
data(i, j) = i*j
Next j
Next i
Indexing
The default initial index value of arrays in VBA is 0.
However, to change the initial index value of all arrays in your module
to 1, simply type Option Base 1 at the top of the module.
If you want to keep the default initial index as 0 but have a specific
array which you want to index starting at 1, you can specify the starting
index value in the array declaration as.
- (1 to arraysize)
Indexing
To compare, in the example below, Option Base 1 is used.
Option Base 1
Dim data(10) As Double, results(12) As Double
Here both the data and results arrays will have an initial index of 1
(as will any other array which is later defined in this module).
Below we do not specify the Option Base setting but instead change
the index of one of the arrays.
Dim data(1 to 10) As Double, results(12) As Double
Now the data array will begin with index of 1, but the results array will
begin with an index of 0.
Indexing
There may be situations in which specific arrays need different indexing
bounds.
In this case, you can start the index at any value, just be aware of the
size of your array.
- size = upper index bound – lower index bound + 1
- Dim results(2 to 13) As Double
Whichever initial index value is chosen should be coordinated with the

counter variable used in For, Next loops.
For i = 2 to 13
results(i) = value
Next i
Dynamic Arrays
If you are not sure what size an array should be, or will be
depending on the user or other dynamic programming reasons,
you can define a dynamic array.
When declaring a dynamic array, the size is not specified; the

parentheses are left empty.
Dim input() As Double
Dynamic Arrays
However, to use this array or any of its elements, we will need to
eventually know its size.
To set the size of a dynamic array at some later point in the

code, we use the ReDim statement.
The ReDim statement can also be used to set or change the

number of dimensions and the indexing bounds.
Dynamic Arrays
• Suppose we want to ask the user to insert some input values, which
we will store in our input array, but we are unsure how many values
they want to insert.
• We can first assign a variable to an Input Box which asks for the
number of values, and then we can insert the value of each element
using a For, Next loop.
size = InputBox(“How many values will you enter as input?”)
ReDim input(1 to size) As Double
For i = 1 to size
input(i) = InputBox(“Please enter value “ & i )
Next i
Dynamic Arrays
Function UBound returns a Long containing the largest available
subscript for the indicated dimension of an array.
Ubound (arrayname[, dimension])
Example :
Dim A(1 To 100, 0 To 3, -3 To 4)
UBound(A, 1) : 100
UBound(A, 2) : 3
UBound(A, 3) : 4
LBound returns a Long containing the smallest available subscript for

the indicated dimension of an array.
Passing arrays as arguments
You can pass arrays to procedures (Subs, Functions) and functions can
return arrays as their result.
Arrays are always passed by reference (ByRef). You will receive a

compiler error if you attempt to pass an array ByVal. This means that
any modification that the called procedure does to the array parameter
is done on the actual array declared in the calling procedure.
The data type of the array declared in the calling procedure must
match the data type declared in the called procedure's parameter list.
Annuity example
HEC Lausanne
Present value of an annuity
• äx = 1 + v p
x + v2 p
2 x....... + vw-x p
w-x x
• Recursive formula :
- äx = 1 + v px äx+1 if x < w
- äx = 1 if x = w
- (w : last age of the table)
äx = 1 + v p + v2 p + vw-x p
x 2 x....... w-x x Loop
function
äx = 1 + v px äx+1 (recursive formula) Recursive

function call
npx = px px+1 px+2 … px+n
Declaring an array of px
Visibility : Module
Visibility : Module
Visibility : Sub procedure
Declaring an array of px
Dimensions of the array
Fetching the probabilities
Fetching the probabilities
Progressing
Accessing the array
Annuity : Loop solution
HEC Lausanne
Initializing the loop
äx = 1 + v px + v2 p
2 x....... + vw-x p
w-x x
tpx = px px+1 px+2 … px+t
First step in the loop
äx = 1 + v px + v2 p
2 x....... + vw-x p
w-x x
Next steps
äx = 1 + v px + v2 p
2 x....... + vw-x p
w-x x
Assigning the result
äx = 1 + v px + v2 p
2 x....... + vw-x p
w-x x
Annuity : Recursive function
call
HEC Lausanne
• äx = 1 + v p
x + v2 p
2 x....... + vw-x p
w-x x
• Recursive formula :
- äx = 1 + v px äx+1 if x < w
- äx = 1 if x = w
- (w : maximum age of the table)
Recursive function call
- äx = 1 if x = w
- äx = 1 + v px äx+1 if x < w
- äx = 1 if x = w
- äx = 1 + v px äx+1 if x < w
- äx = 1 if x = w
- äx = 1 + v px äx+1 if x < w
Recursive function call (stacking the
calls)
105 1
104
103
102
101
100
Annuity : Array
HEC Lausanne
Which implementation for ax ?
get_ax
- ax_loop
- ax_recursive
- Array of ax values ?
Array implementation :
- Interest rate index (valuation for each 0.25% between 0 and
5%)
- Smart initialization
Which implementation for ax ?
Interest rate Index
0% 1
0.25% 2
0.50% 3
0.75% 4
… …
Function IRindex(int_rate As Double) As Integer

IRindex = CInt(int_rate * 400 + 1)
End Function
Array initialization
Writing the array’s contents on a
worksheet
Annuity : what if interest rates
are dependent on maturity ?
HEC Lausanne
Yield curve annuity
äx = 1 + v1 px + v22 2px....... + vw-xw-x w-xpx
Interest curve
3.50
3.00
2.50
2.00
Interest rate
1.50
1.00
0.50
-
1
4
7
10
13
16
19
22
25
28
31
34
37
40
43
46
49
Maturity (years)
Interest rates
Interest rates
If argument passed by reference → misleading

side effect for the calling function !
Interest rates
Yield curve annuity
Yield curve annuity
References
• [Maksay 08] Maksay Gabor, Pigneur Yves, Modéliser par l'exemple, Presses
polytechniques et universitaires romande, 2008,
http://www.ppur.org/produit/290/9782880748951/Modeliser%20par%20lexemple
%20
• [Seref 07] Michelle M.H. Şeref, Ravindra K. Ahuja, and Wayne L. Winston ;
Developing Spreadsheet-Based Decision Support Systems Using Excel and VBA
for Excel ; Dynamic Ideas, Belmont, Massachusetts 2007
• [Hainault 02], Jean-Luc Hainault, Bases de données et modèles de calcul (3ème

édition), Dunod, 2002

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Arrays

Adapted from the course « Notions informatiques – Modèles de calcul »

• Arrays store series of data that can be

• The set of values stored in an array must all be

• You can refer to the array as a whole or you can

• There is not an array data type however.

• VBA will recognize that your variable is an array and not a

• Here is a quick example of defining an array of double data

To enter multiple element values using indices, we use a For, Next

To define multi-dimensional arrays, you just need to specify the size of

For example, if we want to define a two-dimensional array of size 5 by

Whichever initial index value is chosen should be coordinated with the

When declaring a dynamic array, the size is not specified; the

To set the size of a dynamic array at some later point in the

The ReDim statement can also be used to set or change the

LBound returns a Long containing the smallest available subscript for

Arrays are always passed by reference (ByRef). You will receive a

- (w : last age of the table)

äx = 1 + v px äx+1 (recursive formula) Recursive

npx = px px+1 px+2 … px+n

Visibility : Sub procedure

Dimensions of the array

tpx = px px+1 px+2 … px+t

tpx = px px+1 px+2 … px+t

tpx = px px+1 px+2 … px+t

tpx = px px+1 px+2 … px+t

- (w : maximum age of the table)

Function IRindex(int_rate As Double) As Integer

If argument passed by reference → misleading

• [Hainault 02], Jean-Luc Hainault, Bases de données et modèles de calcul (3ème

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