VBASQL

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Computational Finance and Risk Management

Financial Data Access

with SQL, Excel & VBA

Guy YollinInstructor, Applied Mathematics

University of Washington

Guy Yollin (Copyright 2012) Data Access with SQL, Excel & VBA Data access with VBA 1 / 45
http://www.r-programming.org/http://www.r-programming.org/

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Outline

1 Introduction to QueryTables

2 Downloading equity data from Yahoo Finance

3 Read data from SQL databases

4 Implementing VBA worksheet formulas

5 VBA chart creation


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Outline







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Section references

J. Green, S. Bullen, R. Bovey, M. Alexander

Excel 2007 VBA Programmers ReferenceWiley, 2007

Chapter 21


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The QueryTables collection

The QueryTables object is a collection of QueryTable objects

Use the Add method to create a new query table and add it to the

QueryTables collection

Each QueryTable object represents a worksheet table built from datareturned from an external data source


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The QueryTables.Add Method

The QueryTables.Add Method creates a new query table

Syntax:

expression .Add(Connection, Destination, Sql)

Connection The data source for the query table

"ODBC;""URL;""TEXT;"

Destination The cell in the upper-left corner of the query table

destination range

Sql An optional SQL query string for an ODBC data source


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The QueryTable.Refresh Method

The Refresh method causes Excel to connect to the data source of the

QueryTable object, execute the SQL query, and return data to the rangethat is based on the QueryTable object

Syntax:

expression.Refresh(BackgroundQuery)

BackgroundQuery Used only with QueryTables that are based on theresults of a SQL query

True to return control to the procedure as soon

as a database connection is made and the queryis submittedFalse to return control to the procedure onlyafter all data has been fetched to the worksheet


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Properties and methods of the QueryTable object

Properties

BackgroundQuery True if queries for the query table areperformed asynchronously (in the background)

CommandText Returns or sets the command string for thespecified data source

CommandType The CommandType describes the value of theCommandText property

TextFileParseType Gets/sets text file column format

TextFileCommaDelimiter True if the comma is the delimiter when you

import a text file

Methods

Refresh Updates an external data range (QueryTable)

see QueryTable Obect (Excel)

http://msdn.microsoft.com/en-us/library/office/ff198271.aspxGuy Yollin (Copyright 2012) Data Access with SQL, Excel & VBA Data access with VBA 8 / 45
http://msdn.microsoft.com/en-us/library/office/ff198271.aspxhttp://www.r-programming.org/http://www.r-programming.org/http://msdn.microsoft.com/en-us/library/office/ff198271.aspx

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Steps to retrieve data from an external data source

Most data fetches will follow this basic procedure:

1 Define the connection string

2

Define the destination3 Call QueryTables.Add to create the query table object

4 Set the command (i.e. specify the data to be retrieved)

5 Call QueryTable.Refresh to get the data


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Outline







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Section references

Simon BeginningaFinancial Modeling, 3rd Edition

Massachusetts Institute of Technology, 2008

Chapter 41

J. Green, S. Bullen, R. Bovey, M. AlexanderExcel 2007 VBA Programmers Reference

Wiley, 2007

Chapter 21


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Browser initiated download

It is extremely easy to download historic equity data from Yahoo Finance

directly into ExcelJust enter the following URL into a broswer:

http://ichart.yahoo.com/table.csv?s=^GSPC

the parameter "s=" specifies the Yahoo ticker symbol

http://ichart.yahoo.com/table.csv?s=^GSPChttp://www.r-programming.org/http://www.r-programming.org/http://ichart.yahoo.com/table.csv?s=^GSPC

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Browser initiated download

Since only the ticker symbol and no date range was specified, all availabledata is downloaded

S&P 500 Index from Jan-1950 to most recent trading day


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Full Yahoo finance download string

Download S&P 500 index for 2011:http://ichart.yahoo.com/table.csv?s=^GSPC&a=0&b=01&c=2011&d=11&e=31&f=2011&g=d

Parameter Description

s ticker symbol

a fromMonth - 1b fromdat (2 digits)

c fromYear

d toMonth - 1

e toDay (2 digits)

f toYear

g d=day, m=month

http://ichart.yahoo.com/table.csv?s=^GSPC&a=0&b=01&c=2011&d=11&e=31&f=2011&g=dhttp://www.r-programming.org/http://www.r-programming.org/http://ichart.yahoo.com/table.csv?s=^GSPC&a=0&b=01&c=2011&d=11&e=31&f=2011&g=d

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VBA code to download Yahoo data

Sub G e t P r i c e s V e r 1( )

Dim Ws As W orksheetDim Wq As Q u e r y T a b l eDim U r l As S t r i n gU r l = _

"URL ; " & _" h t t p : / / i c h a r t . f i n a n c e . y a ho o . com/ t a b l e . c s v ? " & _" s=^GSPC&" & _"g=d&" & _" i g n o r e =. c s v "

S e t Ws = A c t i v e S h e e tS e t Wq = Ws.Q u e r y T a b l e s. Add ( _

C o n n e c t i o n := U r l , _D e s t i n a t i o n:=Ws .Range ( "A1") )Wq.R e f r e s h B ackgroundQuery := F a l s e

End Sub

adapted from S. Beginninga, Financial Modeling, 3rd Ed.Guy Yollin (Copyright 2012) Data Access with SQL, Excel & VBA Data access with VBA 15 / 45

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Unformatted yahoo download results

The VBA query inserts the CSV data as one-cell-per-row


VBA d d l d Y h d

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VBA code to download Yahoo data

Sub G e t P r i c e s V e r 2( )Dim Ws As W orksheetDim Wq As Q u e r y T a b l eDim U r l As S t r i n gU r l = _

"TEXT; " & _" h t t p : / / i c h a r t . f i n a n c e . y a ho o . com/ t a b l e . c s v ? " & _" s=^GSPC&" & _"g=d&" & _" i g n o r e =. c s v "

S e t Ws = A c t i v e S h e e tS e t Wq = Ws.Q u e r y T a b l e s. Add ( _

C o n n e c t i o n := U r l , _

D e s t i n a t i o n:=Ws .Range ( "A1") )Wq.T e x t F i l e P a r s e T y p e = x l D e l i m i t e dWq.T e x t F i l e C o mm a D e l i m i t e r = TrueWq.R e f r e s h B ackgroundQuery := F a l s e

End Sub

adapted from S. Beginninga, Financial Modeling, 3rd Ed.Guy Yollin (Copyright 2012) Data Access with SQL, Excel & VBA Data access with VBA 17 / 45

P l f d h d l d l

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Properly formatted yahoo download results


O li

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Outline







S ti f

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Section references

J. Green, S. Bullen, R. Bovey, M. AlexanderExcel 2007 VBA Programmers Reference

Wiley, 2007

Chapter 21


D t l

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Data access plan


ODBC Setup

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ODBC Setup


Read from ODBC Access database

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Su b g o a t H i t t e r s( )Dim varConn As S t r i n g

Dim varSQL As S t r i n g

Range ( "A1") .C u r r e n t R e g i o n. C l e a r C o n t e n t s

varConn = "ODBC; DSN=la hman "

varSQL = _

"SELECT " & _" M a s t e r . n a m e F i r s t , M a s t e r . n am eL as t , SUM(H) AS H i t s " & _

"FROM B a t t i n g , M a s t e r " & _"WHERE M a s t e r . p l a y e r I D =B a t t i n g . p l a y e r I D " & _"GROUP BY Ma s ter . p l a y er ID , Ma s ter . n a meL as t , Ma s ter . n a me Fi rs t " & _"HAVING SUM(H) > 300 0 " & _"ORDER BY SUM(H) DESC; "

With A c t i v e S h e e t.Q u e r y T a b l e s. Add ( _C o n n e c t i o n := varConn, _D e s t i n a t i o n:= Range ( "A1") )

. CommandText = varSQL

.R e f r e s h Ba ck g ro u n d Qu ery := F a l s e

End WithGuy Yollin (Copyright 2012) Data Access with SQL, Excel & VBA Data access with VBA 23 / 45


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Su b goatHomers( )Dim varConn As S t r i n gDim varSQL As S t r i n g

C e l l s.C l e a r

varConn = "ODBC;DBQ=C: \ Pr oj ec ts \VBA\lahman591 . mdb; Dr iv er ={M ic ro so ft Acc ess Dr iv er ( .mdb)}"

varSQL = _"SELECT " & _

" n a m e F i r s t , n am eL a st , y e a r I D , HR " & _"FROM B a t t i n g , Ma s t e r " & _

"WHERE Ma s t e r . p l a y e r I D= B a t t i n g . p l a y e r I D " & _"AND HR>51 " & _"ORDER BY HR DESC; "

With A c t i v e S h e e t. Q u e r y T a b l e s. Add (C o n n e c t i o n := varConn, D e s t i n a t i o n:= Range ( "A1") ). CommandText = varSQL.R e f r e s h BackgroundQuery := F a l s e

End With

End Sub


Note DSN-less ODBC connection

Read from SQLite database via ODBC

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Read from SQLite database via ODBC

Su b g o a t S t e a l e r s( )

Dim varConn As S t r i n g

Dim varSQL As S t r i n gC e l l s .C l e a r

varConn = "ODBC; DSN=la hm an SQ Li t e "

varSQL = _"SELECT " & _

" M a s t e r . n a m e F i r s t , M a s t e r . n am eL as t , SUM( SB ) AS S t o l e n B a s e s " & _"FROM B a t t i n g , M a s t e r " & _"WHERE M a s t e r . p l a y e r I D =B a t t i n g . p l a y e r I D " & _"GROUP BY Mast er . p l a y e r I D " & _"HAVING SUM(SB) > 600 " & _"ORDER BY SUM( SB) DESC; "

With A c t i v e S h e e t.Q u e r y T a b l e s. Add ( _C o n n e c t i o n := varConn, _D e s t i n a t i o n:= Range ( "A1") )

. CommandText = varSQL

.R e f r e s h Ba ck g ro u n d Qu ery := F a l s eEnd With

End S ubGuy Yollin (Copyright 2012) Data Access with SQL, Excel & VBA Data access with VBA 25 / 45

Read from Access database via ADO
http://www.r-programming.org/http://www.r-programming.org/http://www.r-programming.org/

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Su b goatHomersADO ( )

R e qu i re s r e f e r e n c e t o M i c ro s of t A ct iv eX Data O bj e ct s xx L i b r a r y

Dim Cn As ADODB.C o n n e c t i o n , Rs As ADODB.R e c o r d s e tDim MyConn , varSQL As S t r i n g

Dim Rw As Long, C o l As Long, c As LongDim MyField, L o c a t i o n As Range

C e l l s.S e l e c t

S e l e c t i o n. C l e a rRange ( "A1") .S e l e c tS et d e s t i n a t i o nS e t L o c a t i o n = [ A1 ]S et s o u rc e

MyConn = "C: \ Pr o j e c t s \VBA\la hman591 .mdb"C r e a t e q u e ryvarSQL = _"SELECT " & _" Master . nam eFi rst , Master . nameLast , SUM(HR) AS HomeRuns " & _"FROM B a t t i n g , Ma s t e r " & _"WHERE Ma s t e r . p l a y e r I D= B a t t i n g . p l a y e r I D " & _"GROUP BY Master . pl ay er ID , Master . nam eFi rst , Master . nameLast " & _"ORDER BY SUM(HR) DESC; "

. . .



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. . .

C r e a t e R e c o rd S e tS e t Cn = New ADODB.C o n n e c t i o nWith Cn

.P r o v i d e r = " Mi cr os of t . Je t .OLEDB. 4 . 0 "

. Open MyConnS e t Rs = .E x e c u t e( varSQL )

End With

W ri te R ec or dS et t o r e s u l t s a re a

Rw = L o c a t i o n. RowC o l = L o c a t i o n.Columnc = C o lDo U n t i l Rs. EOF

F or Ea ch M yF i el d I n Rs. F i e l d sC e l l s( Rw, c ) = My F i e l dc = c + 1

Next My F i e l dRs.MoveNext

Rw = Rw + 1c = Co l

LoopS e t L o c a t i o n = N o t h i n gS e t Cn = N o t h i n gEnd Sub


Outline

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Outline







Section references

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Section references

John WalkenbachExcel 2010 Power Programming with VBA

Sams, 2010

Chapter 8


Black-Scholes pricing formulas

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Black Scholes pricing formulas

Price of a call option:

c=S0N(d1) XerTN(d2)

Price of a put option:

p=XerTN(

d2)

S0N(

d1)

Where:

d1 = ln(S0

X) + (r+2/2)T

T

d2 =d1

T

N The cumulative normal distribution function


S0 =spot price

X =strike price=volatilityT =time to expirationr=risk-free rate

Black-Shoales formula

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Black Shoales formula

P u b l i c F un c ti o n B l a c k S c h o l e s(C a l l P u t F l a g As S t r in g , _

S As Double, X As Double, T As Double, r As Double, _v As Double ) As Double

Dim d1 As Double, d2 As Double

d1 = ( Log ( S / X) + (r + v ^ 2 / 2 ) T) / ( v Sqr(T ) )

d2 = d1

v Sq r(T)

I f C a l l P u t F l a g = " c " ThenB l a c k S c h o l e s = S CND( d1 ) X Exp( r T) CND( d2 )

E l s e I f C a l l P u t F l a g = " p " ThenB l a c k S c h o l e s = X Exp( r T) CND(d2 ) S CND(d1 )

End I f

End F u n c t i o n

Source: http://www.espenhaug.com/black_scholes.htmlGuy Yollin (Copyright 2012) Data Access with SQL, Excel & VBA Data access with VBA 31 / 45

Polynomial approximation to normal CDF
http://www.espenhaug.com/black_scholes.htmlhttp://www.r-programming.org/http://www.r-programming.org/http://www.espenhaug.com/black_scholes.html

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y pp

N(x) =

1 N

(x)(a1k+a2k2 +a3k3 +a4k4 +a5k5) when x 01 N(x) when x

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// The c u m u l a t i v e n o r m a l d i s t r i b u t i o n f u n c t i o n

P u b l i c F un c ti o n CND(X As Double ) As Double

Dim L As Double, K As DoubleC onst a1 = 0 . 3 1 9 3 8 1 5 3 : C onst a2 = 0.356563782:C onst a3 = 1 . 7 8 1 4 7 7 9 3 7 : C o n s t a4 = 1.821255978:C onst a5 = 1 . 3 3 0 2 7 4 4 2 9

L = Abs (X)K = 1 / ( 1 + 0 .2 31 64 19 L )CND = 1 1 / Sqr ( 2A p p l i c a t i o n.P i( ) ) Exp(L^2/2) _

( a1 K + a2 K^2 + a3 K^3 + a4 K^4 + a5 K^5)

I f X < 0 ThenCND = 1 CND

End I f End F u n c t i o n


Black-Shoales option pricing

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p p g


Calling worksheet functions from VBA

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g

You can use many (but not all) of Excels worksheet functions in yourVBA code

The WorksheetFunction object, which is contained in the

Application object, holds all the worksheet functions that you cancall from your VBA procedures

To use a worksheet function in a VBA statement, just precede thefunction name with the object reference:

Application.WorksheetFunction


Black-Shoales formula

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P u b l i c F un c ti o n B l a c k S c h o l e s V e r 2(C a l l P u t F l a g As S t r in g , _S As Double, X As Double, T As Double, r As Double, _

v As Double ) As Double

Dim d1 As Double, d2 As Double

d1 = ( Log ( S / X) + (r + v ^ 2 / 2 ) T) / ( v Sqr(T ) )d2 = d1 v Sq r(T)

I f C a l l P u t F l a g = " c " ThenB l a c k S c h o l e s V e r 2 = S W o r k s h e e t F u n c t i o n.NormSDist ( d1 ) _

X Exp( r T) W o r k s h e e t F u n c t i o n.NormSDist ( d2 )E l s e I f C a l l P u t F l a g = " p " Then

B l a c k S c h o l e s V e r 2 = X Exp( r T) _

W o r k s h e e t F u n c t i o n .NormSDist(

d2 )

_S W o r k s h e e t F u n c t i o n.NormSDist(d1 )

End I f

End F u n c t i o n


Outline

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Section references

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John WalkenbachExcel 2010 Power Programming with VBA

Sams, 2010

Chapter 18

Duane Birnbaum and Michael VineExcel VBA Programming for the Absolute Beginner, 3rd Edition

Thomson Course Technology, 2007

Chapter 9


Record column chart creation process

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1 Select A1:A17, H1:H17

2 Click record macro

3 Insert clustered columns chart

4 Right click and Format Axis

6 Change Axis Labels to Low

7 Align text to rotate 270

8 Delete legend

9 Click stop recordingGuy Yollin (Copyright 2012) Data Access with SQL, Excel & VBA Data access with VBA 39 / 45

Recorded macro

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Sub R e c o r d P l o t R e t u r n s( )

A c t i v e S h e e t.S h a p e s.AddChart. S e l e c tA c t i v e C h a r t.S e t S o u r c e D a t aS o u r c e := Range ( " msft ! $A$1 : $A$17 , msft ! $H$1 : $H$17" )

A c t i v e C h a r t.C hartT ype = x l C o l u m n C l u s t e r e dA c t i v e C h a r t.Axes (x l C a t e g o r y) .S e l e c tA c t i v e S h e e t.C h a r t O b j e c t s( " C ha rt 10 ") .A c t i v a t e

S e l e c t i o n.T i c k L a b e l P o s i t i o n = xlL owA c t i v e S h e e t.C h a r t O b j e c t s( " C ha rt 10 ") .A c t i v a t eA c t i v e C h a r t.Legend. S e l e c tS e l e c t i o n.D e l e t e

End Sub

Hard-coded range

Hard-coded chart name (will not be correct the next time)

Nothing recorded regarding the text alignment


First modification to recorded macro

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Sub RecordedMod1( )Dim DataRange As Range

S e t DataRange = S e l e c t i o nA c t i v e S h e e t.S h a p e s.AddChart. S e l e c tA c t i v e C h a r t.S e t S o ur c e D a ta S o u r c e := DataRangeA c t i v e C h a r t.C hartT ype = x l C o l u m n C l u s t e r e dA c t i v e C h a r t.Axes (x l C a t e g o r y) .S e l e c tS e l e c t i o n.T i c k L a b e l P o s i t i o n = xlL ow

A c t i v e C h a r t.Legend. S e l e c tS e l e c t i o n.D e l e t e

End Sub

To-Do:

align x-axis labelsadd a y-axis label

change the title

change chart position


Finished Plot Returns procedure

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Su b P l o t R e t u r n s( )Dim MyChart As C h a r tDim DataRange As RangeS e t MyChart = A c t i v e S h e e t. S h a p e s.AddChart (x l C o l u m n C l u s t e r e d , 3 75 , 5 , 3 50 , 2 5 0 ).C h a r tWith MyChart

.C h a r t T i t l e. Text = " D a i l y S t oc k R e t u r n s "

.Axes (x l C a t e g o r y) .T i c k L a b e l s. O r i e n t a t i o n = 90

.Axes (x l C a t e g o r y) .T i c k L a b e l P o s i t i o n = xlLow

.HasLegend = F a l s e

.Axes (x l V a l u e , x l P r i m a r y) .H a s T i t l e = True

.Axes (x l V a l u e , x l P r i m a r y) .A x i s T i t l e. C h a r a c t e r s. Text = " L og R e t u r n (% ) "End With

End Sub


Alternative plotting method using ChartObjects

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Su b P l o t P r i c e s( )Dim MyChart As C h a r tDim DataRange As RangeS e t DataRange = S e l e c t i o nS e t MyChart = A c t i v e S h e e t. C h a r t O b j e c t s. Add ( 3 75 , 5 , 3 50 , 2 5 0 ) .C h a r t

With MyChart.S e t S ou r c e Da t a S o u r ce := DataRange.ChartType = x l L i n e M a r k e r s.C h a r t T i t l e. Text = " D a i l y S to c k P r i c e ".Axes (x l C a t e g o r y) .T i c k L a b e l s. O r i e n t a t i o n = 90.HasLegend = F a l s e.Axes (x l V a l u e , x l P r i m a r y) .H a s T i t l e = True.Axes (x l V a l u e , x l P r i m a r y) .A x i s T i t l e. C h a r a c t e r s. Text = " P r i c e ( $ ) "

End With

End Sub


Plotting candle stick charts

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Su b PlotOHLC ( )Dim MyChart As C h a r tS e t MyChart = A c t i v e S h e e t. S h a p e s.AddChart ( xlStockOHLC, 3 75 , 5 , 3 50 , 2 5 0 ).C h a r tWith MyChart

.C h a r t S t y l e = 4.H a s T i t l e = True

.C h a r t T i t l e. Text = " D a i l y S to c k P r i c e "

.Axes (x l C a t e g o r y) .T i c k L a b e l s. O r i e n t a t i o n = 90

.Axes (x l C a t e g o r y) .T i c k L a b e l P o s i t i o n = xlLow

.HasLegend = F a l s e

.Axes (x l V a l u e , x l P r i m a r y) .H a s T i t l e = True

.Axes (x l V a l u e , x l P r i m a r y) .A x i s T i t l e. C h a r a c t e r s. Text = " P r i c e ( $ ) "End With

End Sub


Computational Finance and Risk Management

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http://depts.washington.edu/compfin

http://depts.washington.edu/compfinhttp://www.r-programming.org/http://www.r-programming.org/http://depts.washington.edu/compfin

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