VBA: function returns #VALUE - excel

Question

I have a sub that allows me to price an option via a certain model. Then I wanted to build a function that does exactly the same thing in the same way, but I get an error. Some inputs can be vector so I tried the code with and without the brackets. I also switched "Worksheet.function" with "Application", none of that worked.
Public Function TaylorPrice1(S0 As Double, sigma As Double, wgt As Double, rho As Double, T As Double, Kappa As Double, r As Double, num As Double) As Double
Dim ModS() As Double
Dim Z As Double
Dim i, j, L, k As Double
Dim Sum1, Sum2, Sum3, Sum4, Sum5 As Double
Dim U1, U2, U20, U2st, U2nd, U2rd, mz, vz As Double
Dim a1, a2, a3, B1, B2, c1, c2, c3, c4, d1, d2, d3, d4, z1, z2, z3, y, y1, y2 As Double
Dim py, pyst, pynd, Ny1, Ny2 As Double
Dim Modrho() As Double
'ReDim S0(num), sigma(num), wgt(num), rho(num, num) As Double
ReDim ModS(num) As Double
ReDim Modrho(num, num) As Double
Z = 1
Sum1 = 0
Sum2 = 0
Sum3 = 0
Sum4 = 0
Sum5 = 0
U1 = 0
U2 = 0
U20 = 0
U2st = 0
U2nd = 0
U2rd = 0
For i = 0 To num - 1
ModS(i) = wgt(i) * S0(i) * Exp(r * T)
U1 = U1 + ModS(i)
Next i
For i = 0 To num - 1
For j = 0 To num - 1
Modrho(i, j) = rho(i, j) * sigma(i) * sigma(j) * T
U2 = U2 + ModS(i) * ModS(j) * Exp((Z ^ 2) * Modrho(i, j))
Next j
Next i
mz = 2 * Log(U1) - 0.5 * Log(U2)
vz = Log(U2) - 2 * Log(U1)
For i = 0 To num - 1
For j = 0 To num - 1
U20 = U20 + ModS(i) * ModS(j)
U2st = U2st + ModS(i) * ModS(j) * Modrho(i, j)
U2nd = U2nd + ModS(i) * ModS(j) * Modrho(i, j) ^ 2
U2rd = U2rd + ModS(i) * ModS(j) * Modrho(i, j) ^ 3
Next j
Next i
a1 = -(U2st * Z ^ 2) / (2 * U20)
a2 = 2 * a1 ^ 2 - ((U2nd * Z ^ 4) / (2 * U20))
a3 = 6 * a1 * a2 - 4 * a1 ^ 3 - ((U2rd * Z ^ 6) / (2 * U20))
For k = 0 To num - 1
For j = 0 To num - 1
For i = 0 To num - 1
Sum1 = Sum1 + 2 * (ModS(i) * ModS(j) * ModS(k) * Modrho(i, k) * Modrho(j, k))
Next i
Next j
Next k
B1 = (Z ^ 4) / (4 * U1 ^ 3) * Sum1
B2 = a1 ^ 2 - 0.5 * a2
For L = 0 To num - 1
For k = 0 To num - 1
For j = 0 To num - 1
For i = 0 To num - 1
Sum2 = Sum2 + 8 * (ModS(i) * ModS(j) * ModS(k) * ModS(L) * Modrho(i, L) * Modrho(j, k) * Modrho(k, L))
Next i
Next j
Next k
Next L
Sum2 = Sum2 + 2 * U2st * U2nd
For L = 0 To num - 1
For k = 0 To num - 1
For j = 0 To num - 1
For i = 0 To num - 1
Sum3 = Sum3 + 6 * (ModS(i) * ModS(j) * ModS(k) * ModS(L) * Modrho(i, L) * Modrho(j, L) * Modrho(k, L))
Next i
Next j
Next k
Next L
For k = 0 To num - 1
For j = 0 To num - 1
For i = 0 To num - 1
Sum4 = Sum4 + 6 * (ModS(i) * ModS(j) * ModS(k) * Modrho(i, k) * (Modrho(j, k) ^ 2))
Next i
Next j
Next k
For k = 0 To num - 1
For j = 0 To num - 1
For i = 0 To num - 1
Sum5 = Sum5 + 8 * (ModS(i) * ModS(j) * ModS(k) * Modrho(i, j) * Modrho(i, k) * Modrho(j, k))
Next i
Next j
Next k
c1 = -1 * a1 * B1
c2 = (Z ^ 6 / (144 * U1 ^ 4)) * (9 * Sum2 + 4 * Sum3)
c3 = (Z ^ 6 / (48 * U1 ^ 3)) * (4 * Sum4 + Sum5)
c4 = a1 * a2 - 2 / 3 * a1 ^ 3 - a3 / 6
d1 = 0.5 * (6 * a1 ^ 2 + a2 - 4 * B1 + 2 * B2) - 1 / 6 * (120 * a1 ^ 3 - a3 + 6 * (24 * c1 - 6 * c2 + 2 * c3 - c4))
d2 = 0.5 * (10 * a1 ^ 2 + a2 - 6 * B1 + 2 * B2) - (128 * (a1 ^ 3) / 3 - a3 / 6 + 2 * a1 * B1 - a1 * B2 + 50 * c1 - 11 * c2 + 3 * c3 - c4)
d3 = (2 * a1 ^ 2 - B1) - 1 / 3 * (88 * a1 ^ 3 + 3 * a1 * (5 * B1 - 2 * B2) + 3 * (35 * c1 - 6 * c2 + c3))
d4 = (-20 * (a1 ^ 3) / 3 + a1 * (-4 * B1 + B2) - 10 * c1 + c2)
z1 = d2 - d3 + d4
z2 = d3 - d4
z3 = d4
y = Log(Kappa)
y1 = (mz - y) / (Sqr(vz)) + Sqr(vz)
y2 = y1 - Sqr(vz)
Ny1 = Application.Norm_S_Dist(y1, True)
Ny2 = Application.Norm_S_Dist(y2, True)
py = (1 / (Sqr(2 * Application.Pi() * vz))) * Exp((-((y - mz) ^ 2) / (2 * vz)))
pyst = py * 1 / (-vz) * (y - mz)
pynd = mz / vz * pyst + py * (1 / (-vz)) * (1 + y * (-1 / vz) * (y - mz))
TaylorPrice1 = (U1 * Exp(-r * T) * Ny1 - Kappa * Exp(-r * T) * Ny2) + (Exp(-r * T) * Kappa * (z1 * py + z2 * pyst + z3 * pynd))
End Function

Answer 1

You're trying to use some function parameters as arrays but you don't have them initialized as such
For instance
ModS(i) = wgt(i) * S0(i) * Exp(r * T)
You have wgt and SO as
Public Function TaylorPrice1(S0 As Double, sigma As Double, wgt As Double, rho As Double, T As Double, Kappa As Double, r As Double, num As Double) As Double
In your function parameters. The same applies to
Modrho(i, j) = rho(i, j) * sigma(i) * sigma(j) * T
You can drop the As Double from all function parameters that may be arrays and delete your currently commented Redim... line, as un-commenting that would immediately overwrite the parameter values.

Answer 2

Thank you to everyone for your help. I found the problem. The inputs of the function are actually range of cells of an Excel spreadsheet. But VBA didn't recognize them as array, so I had to transform the range in array (rho in the code). Since I also have a multidimensional array, I found that the range variables store the values of the range as mono dimensional row by raw. For example, I have a 14x14 matrix, then the 17th value of the range corresponds to the 2nd row, 3nd column of the matrix. I hope this information can be useful to someone. This is how I solved the main problem
Dim i As Double
Dim j As Double
Dim L As Double
Dim k As Double
Dim S0() As Double
Dim sigma() As Double
Dim wgt() As Double
Dim rho() As Double
Dim Modrho() As Double
Dim ModS() As Double
' transofrmo range nei vettori
Dim cell As Range
Dim num1 As Long, num2 As Long
Dim rhodritto() As Double
num1 = 0
For Each cell In S0Input
num1 = num1 + 1
Next cell
ReDim S0(num1) As Double
ReDim sigma(num1) As Double
ReDim wgt(num1) As Double
ReDim rho(num1, num1) As Double
ReDim Modrho(num1, num1) As Double
ReDim ModS(num1) As Double
i = 1
For Each cell In S0Input
S0(i) = cell.Value
i = i + 1
Next cell
i = 1
For Each cell In sigmaInput
sigma(i) = cell.Value
i = i + 1
Next cell
i = 1
For Each cell In wgtInput
wgt(i) = cell.Value
i = i + 1
Next cell
num2 = 0
For Each cell In rhoInput
num2 = num2 + 1
Next cell
ReDim rhodritto(num2)
i = 1
For Each cell In rhoInput
rhodritto(i) = cell.Value
i = i + 1
Next cell
k = 1
For i = 1 To num1
For j = 1 To num1
rho(i, j) = rhodritto(k)
k = k + 1
Next j
Next i