August 14, 2015
There are a couple of spreadsheets in the SpreadServe beta that illustrate point 3 (component reuse) from my recent Spreadsheets are code post. One of them – ycb_quandl_pub.xls – is running on the AWS host, and a recent post explained in detail how it uses Quandl data to drive QuantLib’s yield curve bootstrapping functions. ycb_quandl_pub.xls is paired with ycb_quandl_sub.xls. You can download both of them from here, and as their names suggest, ycb_quandl_pub.xls is a publisher, and ycb_quandl_sub.xls is a subscriber. ycb_quandl_pub.xls will run equally happily in Excel or SpreadServe, but it only becomes a reuasable component when it’s running in SpreadServe. Try downloading ycb_quandl_sub.xls and running it in Excel on your desktop. You’ll need to install SSAddin to make it work. Then you’ll see that ycb_quandl_sub.xls is updated with the dates and rates of the bootstrapped curve calculated by ycb_quandl_pub.xls. You may see #N/A in the cells for a few minutes until the first tick arrives from the server, which recalcs every five minutes. The s2cfg sheet in ycb_quandl_sub.xls configures the SSAddin to use its s2websock function to subscribe to the rates published by the RealTimeWebServer every time the ycb_quandl_pub.xls sheet hosted in a SpreadServeEngine instance recalculates. The RealTimeWebServer can support many subscribers, so all the logic in ycb_quandl_pub.xls from Quandl, QuantLib and the worksheet formula is shared by all the subscribers. A user with edit permission could change some aspect of the model on the publisher side, the Interpolator or TermStructureCalendar perhaps, and all the subscribers would get the same updated data as a result. Those familiar with typical pricing engine architectures in investment banks will recognise the makings of a graph of pricing engines here. But the major difference is that no server side C++, C# or Java coding is necessary to make it happen. Graphs of quant or trader developer spreadsheets can be strung together very rapidly. The benefit of the spreadsheet level component reuse that SpreadServe makes possible should be apparent.
August 13, 2015
Felienne Hermans has made it her mission to point out that “spreadsheets are code”. She’s most definitely right about that, and a whole host of the other consequences that she draws from that insight, specifically that we should apply the techniques developed by mainstream software engineering to spreadsheets: version control, testing and design guidelines for clean structure, like the FAST standard. Whenever you create a sheet with formulae in it you’re programming. Ignoring that fact is one of the reasons spreadsheet disasters keep happening. I couldn’t agree more with Prof Hermans on that score. But I think we need to go further in the comparison of spreadsheets with code, and point out some major differences.
- Conventional code, when deployed to its production runtime environment does not come with an IDE that enables any user to change the implementation! A trader can’t reach inside his Bloomberg or TradeWeb terminal and change its implementation. But Excel allows any user to change any formula in a financial model.
- Conventional code enables reuse through components. Each Excel spreadsheet is like an island, and monolithic. How can spreadsheets be composed together to draw input and feed output to each other? Only with manual, error prone operations.
- Unit testing: the unit testing philosophy calls for any significant component to have a set of separate test code that proves compliance with pre and post conditions as well as yielding specified results. Also required is the ability to run a set of tests automatically and record the results. All of that is a capability that Excel simply doesn’t have.
To realise points 1 to 4 for spreadsheets we need an alternate run time that can host spreadsheets on a server, and decouple the financial logic expressed in worksheet formulae, VBA & XLLs from the user interface. In the next post I’ll give more detail on how SpreadServe solves all the issues raised above.
August 8, 2015
In yesterday’s post I promised to give more detail on the Yield Curve Bootstrapping sheet running on the Amazon hosted SpreadServe instance. If you’d like to try running the sheet on your own desktop you can download it from the repository; just click on ycb_quandl_pub.xls. To run the sheet in your own Excel you’ll need to download the QuantLib and SpreadServe addins. ycb_quandl_pub.xls is based on one of QuantLibXL’s example spreadsheets, YieldCurveBootstrapping.xls, which gives a sample QuantLib Excel solution to a common fixed income rates maths problem: bootstrapping a yield curve. If you look at the original sheet you’ll see that all input data is present as simple cell values. To change it you must rekey it. Ideally this would be automated, so that deposit, futures and swap rates could be regularly pulled from a clean data source, and the bootstrapping results recalculated and published. ycb_quandl_pub.xls uses the SpreadServe Addin to pull the depo, futures and swap rates from quandl. Look at the top left block on the Quandl sheet within the ycb_quandl_pub workbook to see the invocations of the s2quandl function that pull the rates into the sheet from quandl.com. Lower down on the same sheet you can see the s2cron invocation that schedules a timer to go off every 5 minutes and trigger a new download of the same data. The same trigger is used as input to QuantLib’s qlPieceWiseYieldCurve function on the Bootstrapping sheet to force a recalculation when freshly downloaded data arrives. All that is great for automating an Excel spreadsheet. With SpreadServe we can take it one step further and get the sheet off the desktop and onto a server. The whole process is then automated, centralised and freed from possible manual disruption on the desktop.
NB QuantLib date calcs mean the results of this sheet are only good on weekdays, Mon-Fri, and not Sat or Sun.
August 8, 2015
August 7, 2015
In preparation for the launch of SpreadServe‘s beta program I’ve added a page of resources to this blog. I’ve just finished moving the documentation on to readthedocs.org. It’s very cool to be able to edit the docs on my laptop, push the changes to github, and have them appear automatically, via webhook, on readthedocs. The source ReStructured Text docs are on the SpreadServe github repository. Also on github is the SpreadServe Addin which extends Excel with background thread quandl queries and cron like scheduled triggers. And there’s a link to the Amazon hosted instance running a yield curve bootstrapping sheet that automatically pulls depo, futures and swap rates from quandl. More on that in another post. Finally, there’s a link to the Google Group for SpreadServe. Please join the group if you’d like to download the SpreadServe beta and kick the tyres.