Reusable spreadsheet components with SpreadServe

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.


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