Set m_MatlabApp = CreateObject("Matlab.Application")
Dim wkbk As Workbook
Dim wksht As Worksheet
Dim ndim As Integer: ndim = 30
Dim itsdim As Variant
ReDim rho_matrix(1 To ndim, 1 To ndim) As Double
ReDim output(1 To ndim, 1 To ndim) As Double
ReDim my_output_real(1 To ndim, 1 To ndim) As Double, my_output_imag(1 To ndim, 1 To ndim) As Double
Dim image() As Double, my_bool As Boolean, Result As String
Set wkbk = Workbooks("Evaluate_LPI_Swap_30y_With_Smile.xlsx")
Set wksht = wkbk.Worksheets("Modelling_LPI")
Dim cnt_row As Integer, cnt_col As Integer, retVal As Variant
wksht.Activate
'Load the Excel correlation matrix into a double array
For cnt_row = 1 To ndim
For cnt_col = 1 To ndim
rho_matrix(cnt_row, cnt_col) = wksht.Cells(5 + cnt_row, 4 + cnt_col).Value
output(cnt_row, cnt_col) = 0
Next cnt_col
Next cnt_row
'update the workspace variables in MatLab
Result = m_MatlabApp.Execute("cd Q:\Team\Russell_Bickerton\MatLab\Data")
retVal = m_MatlabApp.Feval("load", 0, "reduce_to_common_factors.mat")}
