# Examples Using NAG and Excel

All the example spreadsheets below use 32-bit NAG Libraries and can be used with 32-bit versions of Microsoft Excel only. 64-bit versions of some examples can be made available upon request. Please contact us via support@nag.co.uk for more information.

Most of the examples here are based on the Mark 24 NAG Library. You will need to update the name of the DLL in the Declare statements to use them with newer Library releases. If you need help with this conversion, please contact us.

Basic examples:

• How to compute the matrix exponential, and other matrix functions, of a real matrix using the Schur–Parlett algorithm
• How to compute the Cholesky factorization of a real symmetric positive definite matrix
• How to reduce a real m by n matrix to bidiagonal form by an orthogonal transformation
• How to compute the singular value decomposition of a real upper or lower bidiagonal matrix
• How to compute the maximum likelihood estimates of the parameters of a factor analysis model
• How to calculate multivariate probability
• How to find a zero of a function using a reverse communication interface
• How to compute the option price given by the Black–Scholes–Merton formula together with its Greeks
• How to compute the option price given by Heston's stochastic volatility model together with its Greeks
• How to solve a Markowitz Modern Portfolio optimization problem
• How to compute the two-dimensional discrete wavelet transform
• How to perform quantile linear regression
• How to compute a definite integral over a finite range to a specified relative accuracy using a method described by Patterson
• Miscellaneous Examples Of and General Notes On
Using the NAG C Library

• How to use the scaled Wiener increments produced using a Brownian bridge generator to compute numerical solutions to stochastic differential equations (SDEs) driven by (free or non-free) Wiener processes
• How to compute the Nearest Correlation Matrix (NCM), in the Frobenius norm, or weighted Frobenius norm, and optionally with bounds on the eigenvalues, or with k-factor structure, and how to find eigenvalues for both symmetric and asymmetric matrices
• How to compute the Nearest Correlation Matrix (NCM), in the Frobenius norm, or weighted Frobenius norm, or element-wise weightings and optionally with bounds on the eigenvalues, or with k-factor structure, and how to find eigenvalues for both symmetric and asymmetric matrices.
• How to find the global optimum of a multivariate function using the multi-level coordinate search algorithm
• How to solve a nonlinear least-squares problem using the sequential quadratic programming (SQP) method
• How to find a minimum of a function, subject to fixed upper and lower bounds (no derivatives required) using the BOBYQA algorithm
• How to obtain Kaplan–Meier estimates for censored data
• How to perform GARCH time series identification, estimation and forecasting
• How to perform ARIMA time series identification, estimation and forecasting
• How to implement Local Volatility model using Dupire formula and a collection of NAG interpolation routines and a PDE solver

NAG Statistical Add-Ins for Excel

The NAG Statistical Add-Ins contain a considerable number of statistical routines grouped together in one spreadsheet. These include functions for:

• Simple statistics
• Regression Analysis
• Time Series Modelling
• GLMs
• PCA
• Factor, Cluster, and Discriminant Analyses
• Nonparametric tests
• And others…

All functions can be called via Excel's function wizard and the spreadsheet is supplied with a NAG menu with utilities for expanding the results and extracting formatted data.

The spreadsheet works with the 32-bit NAG Fortran Library FLDLL244ML with Excel 2003, 2007, and 2010 (32-bit).

The zip file contains the Excel spreadsheet, a README file and Windows help file.

Please note, that in order to be able to read the help file on Windows Vista and later versions of Windows you need to download a Windows Help component from http://support.microsoft.com/kb/917607 free of charge. To avoid any potential problems with the Microsoft Validation Program, you might consider using Internet Explorer to perform this download.

NAG Survival Analysis for Excel

The NAG Survival Analysis spreadsheet contains functions to:

• Compute Kaplan–Meier estimates of survival probabilities (with plots)
• Compute rank statistics for comparing survival curves
• Fit Cox's proportional hazard model

All functions can be called via Excel's function wizard and the spreadsheet is supplied with a NAG menu with utilities for expanding the results and extracting formatted data.

The spreadsheet works with the 32-bit NAG Fortran Library FLDLL244ML with Excel 2003, 2007, and 2010 (32-bit).

The zip file contains the Excel spreadsheet and a README file.

• Using the NAG Library for .NET in Excel

This archive contains a demo which uses methods from the NAG Library for .NET in an Excel spreadsheet to fit a bicubic spline surface to a set of points in three-dimensional space. More information about the demo can be found in this README (a copy of which is also contained in the archive).

If you wish to use any of these examples you need to have the appropriate NAG Library installed. All the examples above use 32-bit NAG Libraries. 64-bit versions are available upon request. If you wish to use these NAG Excel examples in 64-bit Excel please contact sales@nag.co.uk. The table below shows NAG Product codes depending on which version of Excel and which type of NAG Library you use.

 NAG Fortran Library for Windows NAG C Library for Windows 32-bit Excel FLDLL254ML CLW3225DAL 64-bit Excel FLW6I25DCL CLW6I25DAL

To access a trial of these libraries please go to our download page. To run the demonstrations effectively you must have macros enabled in Excel. We suggest you save the file (using right click 'Save As') and then open from the saved location. Before you run a demonstration please refer to the Help and Information buttons within the Excel workbook, where available. The examples are supplied with the appropriate VB headers. If you would like to call other routines from the NAG Library, please obtain the headers as detailed near the bottom of the NAG and Excel Homepage.

Additional examples of calling NAG Library routines from Excel are available for all of the above libraries. For the C Libraries, these examples are available for download for CLW3225DAL and CLW6I25DAL. For FLDLL254ML and FLW6I25DCL, once the Library has been downloaded and installed, the examples can be found in the samples\excel_examples or samples\excel64_examples subdirectory of the Library installation directory respectively.