VBASQL

Computational Finance and Risk Management
Financial Data Access with SQL, Excel & VBA
Guy Yollin
Instructor, Applied Mathematics University of Washington
Guy Yollin (Copyright 2012) Data Access with SQL, Excel & VBA Data access with VBA 1 / 45
Outline
Introduction to QueryTables Downloading equity data from Yahoo Finance Read data from SQL databases Implementing VBA worksheet formulas VBA chart creation
Guy Yollin (Copyright 2012)
Data Access with SQL, Excel & VBA
Data access with VBA
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Outline
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Section references
J. Green, S. Bullen, R. Bovey, M. Alexander Excel 2007 VBA Programmers Reference Wiley, 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 data returned 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;<connection string>" "URL;<url>" "TEXT;<text le path and name>" The cell in the upper-left corner of the query table destination range An optional SQL query string for an ODBC data source
Destination Sql
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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 range that is based on the QueryTable object Syntax: expression.Refresh(BackgroundQuery) BackgroundQuery Used only with QueryTables that are based on the results of a SQL query True to return control to the procedure as soon as a database connection is made and the query is submitted False to return control to the procedure only after all data has been fetched to the worksheet
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Properties and methods of the QueryTable object

Properties BackgroundQuery CommandText CommandType TextFileParseType TextFileCommaDelimiter Methods Refresh
True if queries for the query table are performed asynchronously (in the background) Returns or sets the command string for the specied data source The CommandType describes the value of the CommandText property Gets/sets text le column format True if the comma is the delimiter when you import a text le
Updates an external data range (QueryTable)

Data Access with SQL, Excel & VBA Data access with VBA 8 / 45
see QueryTable Obect (Excel) http://msdn.microsoft.com/en-us/library/office/ff198271.aspx
Steps to retrieve data from an external data source
Most data fetches will follow this basic procedure:

1 2 3 4 5
Dene the connection string Dene the destination Call QueryTables.Add to create the query table object Set the command (i.e. specify the data to be retrieved) Call QueryTable.Refresh to get the data
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Outline
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Section references
Simon Beginninga Financial Modeling, 3rd Edition Massachusetts Institute of Technology, 2008 Chapter 41 J. Green, S. Bullen, R. Bovey, M. Alexander Excel 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 Excel Just enter the following URL into a broswer: http://ichart.yahoo.com/table.csv?s=^GSPC
the parameter "s=" species the Yahoo ticker symbol
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Browser initiated download

Since only the ticker symbol and no date range was specied, all available data is downloaded
S&P 500 Index from Jan-1950 to most recent trading day

Full Yahoo nance 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 s a b c d e f g
Description ticker symbol fromMonth - 1 fromdat (2 digits) fromYear toMonth - 1 toDay (2 digits) toYear d=day, m=month
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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 o r k s h e e t Dim Wq As Q u e r y T a b l e Dim U r l As S t r i n g Url = _ "URL ; " & _ " h t t p : / / i c h a r t . f i n a n c e . yahoo . 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 t S 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 BackgroundQuery := F a l s e End Sub
adapted from S. Beginninga, Financial Modeling, 3rd Ed.

Unformatted yahoo download results

The VBA query inserts the CSV data as one-cell-per-row
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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 o r k s h e e t Dim Wq As Q u e r y T a b l e Dim U r l As S t r i n g Url = _ "TEXT ; " & _ " h t t p : / / i c h a r t . f i n a n c e . yahoo . 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 t S 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 d Wq. T e x t F i l e C o m m a D e l i m i t e r = True Wq. R e f r e s h BackgroundQuery := F a l s e End Sub adapted from S. Beginninga, Financial Modeling, 3rd Ed.
Properly formatted yahoo download results
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Outline
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Section references
J. Green, S. Bullen, R. Bovey, M. Alexander Excel 2007 VBA Programmers Reference Wiley, 2007 Chapter 21
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Data access plan
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ODBC Setup
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Read from ODBC Access database

Sub g o a t H i t t e r s ( ) Dim varC on n 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=lahman " varSQL = _ "SELECT " & _ " M a s t e r . n a m e F i r s t , M a s t e r . nameLast , 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 M a s t e r . p l a y e r I D , M a s t e r . nameLast , M a s t e r . n a m e F i r s t " & _ "HAVING SUM(H) > 3000 " & _ "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 B a c k g r o u n d Q u e r y := F a l s e End With
Read from ODBC Access database

Sub goatHomers ( ) Dim va rConn As S t r i n g Dim varSQL As S t r i n g Cells . Clear varConn = "ODBC;DBQ=C : \ P r o j e c t s \VBA\ lahman591 . mdb ; D r i v e r ={ M i c r o s o f t A c c e s s D r i v e r ( . mdb ) } " varSQL = _ "SELECT " & _ " n a m e F i r s t , nameLast , y e a r I D , HR " & _ "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 " & _ "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 B a c k g r o u n d Q u e r y := F a l s e End With End Sub
Note DSN-less ODBC connection
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Read from SQLite database via ODBC

Sub g o a t S t e a l e r s ( ) Dim varC on n As S t r i n g Dim varSQL As S t r i n g Cells . Clear varConn = "ODBC; DSN=l a h m a n S Q L i 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 . nameLast , 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 M a s t e r . 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 B a c k g r o u n d Q u e r y := F a l s e End With
Guy Yollin End Sub (Copyright 2012) Data Access with SQL, Excel & VBA Data access with VBA 25 / 45
Read from Access database via ADO

Sub goatHomersADO ( ) R e q u i r e s r e f e r e n c e t o M i c r o s o f t A c t i v e X Data O b j e c t 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 t Dim MyConn , varSQL As S t r i n g Dim Rw As Long , C o l As Long , c As Long Dim M y F i e l d , L o c a t i o n As Range Cells . Select Selection . Clear Range ( "A1" ) . S e l e c t Set d e s t i n a t i o n S e t L o c a t i o n = [ A1 ] Set source MyConn = "C : \ P r o j e c t s \VBA\ lahman591 . mdb" Create query varSQL = _ "SELECT " & _ " M a s t e r . n a m e F i r s t , M a s t e r . nameLast , SUM(HR) AS HomeRuns " & _ "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 M a s t e r . p l a y e r I D , M a s t e r . n a m e F i r s t , M a s t e r . nameLast " & _ "ORDER BY SUM(HR) DESC ; " ...
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Read from Access database via ADO

... Create RecordSet S e t Cn = New ADODB. C o n n e c t i o n With Cn . P r o v i d e r = " M i c r o s o f t . J e t . OLEDB . 4 . 0 " . Open MyConn S e t Rs = . E x e c u t e ( varSQL ) End With Write RecordSet to r e s u l t s area Rw = L o c a t i o n . Row C o l = L o c a t i o n . Column c = Col Do U n t i l Rs . EOF F o r Each M y F i e l d I n Rs . F i e l d s C e l l s (Rw , c ) = M y F i e l d c = c + 1 Next M y F i e l d Rs . MoveNext Rw = Rw + 1 c = Col Loop Set Location = Nothing S e t Cn = N o t h i n g End Sub
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Outline
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Section references
John Walkenbach Excel 2010 Power Programming with VBA Sams, 2010 Chapter 8
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Black-Scholes pricing formulas

Price of a call option: c = S0 N (d1 ) Xe rT N (d2 ) Price of a put option: p = Xe rT N (d2 ) S0 N (d1 ) Where:
0 ln( S r + 2 /2)T X ) + ( T d2 = d1 T
S0 = spot price X = strike price = volatility T = time to expiration r = risk-free rate
d1 =
N The cumulative normal distribution function
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Black-Shoales formula
P u b l i c F u n c t i 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 i n 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 CallPutFlag = "c" BlackScholes = S E l s e I f CallPutFlag = BlackScholes = X End I f End F u n c t i o n Then CND( d1 ) X Exp( r T) CND( d2 ) " p " Then Exp( r T) CND( d2 ) S CND( d1 )
Source: http://www.espenhaug.com/black_scholes.html
Polynomial approximation to normal CDF
N (x ) = where
1 N (x )(a1 k + a2 k 2 + a3 k 3 + a4 k 4 + a5 k 5 ) when x 0 1 N (x ) when x < 0
k=
1 1+ x
= 0.2316419 a1 = 0.319381530 a2 = 0.356563782 a3 = 1.781477937 a4 = 1.821255978 a5 = 1.330274429

// 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 u n c t i o n CND(X As Double ) As Double Dim L Const Const Const As a1 a3 a5 Double , K As Double = 0 . 3 1 9 3 8 1 5 3 : C o n s t a2 = 0. 35 65 6 3 78 2: = 1 . 7 8 1 4 7 7 9 3 7 : C o n s t a4 = 1. 82 12 55 97 8: = 1.330274429
L = Abs (X) K = 1 / (1 + 0.2316419 L) CND = 1 1 / Sqr ( 2 A 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 Then CND = 1 CND End I f End F u n c t i o n
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Black-Shoales option pricing
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Calling worksheet functions from VBA
You can use many (but not all) of Excels worksheet functions in your VBA code The WorksheetFunction object, which is contained in the Application object, holds all the worksheet functions that you can call from your VBA procedures To use a worksheet function in a VBA statement, just precede the function name with the object reference:
Application.WorksheetFunction
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P u b l i c F u n c t i 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 i n 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 " Then B 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
John Walkenbach Excel 2010 Power Programming with VBA Sams, 2010 Chapter 18 Duane Birnbaum and Michael Vine Excel VBA Programming for the Absolute Beginner, 3rd Edition Thomson Course Technology, 2007 Chapter 9
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Record column chart creation process
1 2 3 4
Select A1:A17, H1:H17 Click record macro Insert clustered columns chart Right click and Format Axis
6 7 8 9
Change Axis Labels to Low Align text to rotate 270 Delete legend Click stop recording
Data access with VBA 39 / 45
Recorded macro
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 t ActiveChart . SetSourceData S 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 . ChartType = x l C o l u m n C l u s t e r e d A 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 t A c t i v e S h e e t . C h a r t O b j e c t s ( " C h a r t 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 = xlLow A c t i v e S h e e t . C h a r t O b j e c t s ( " C h a r t 10 " ) . A c t i v a t e A c t i v e C h a r t . Legend . S e l e c t Selection . Delete End Sub
Hard-coded range Hard-coded chart name (will not be correct the next time) Nothing recorded regarding the text alignment
First modication to recorded macro

Sub RecordedMod1 ( ) Dim DataRange As Range S e t DataRange = S e l e c t i o n A c t i v e S h e e t . S h a p e s . AddChart . S e l e c t A c t i v e C h a r t . S e t S o u r c e D a t a S o u r c e := DataRange A c t i v e C h a r t . ChartType = x l C o l u m n C l u s t e r e d A 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 t 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 = xlLow A c t i v e C h a r t . Legend . S e l e c t Selection . Delete End Sub
To-Do: align x-axis labels add a y-axis label change the title change chart position
Finished Plot Returns procedure

Sub P l o t R e t u r n s ( ) Dim MyChart As C h a r t Dim DataRange As Range S 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 7 5 , 5 , 3 5 0 , 2 5 0 ) . C h a r t With MyChart . C h a r t T i t l e . Text = " D a i l y S t o c 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 = x l L o w . 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 = " Log R e t u r n (%) " End With End Sub
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Alternative plotting method using ChartObjects

Sub P l o t P r i c e s ( ) Dim MyChart As C h a r t Dim DataRange As Range S e t DataRange = S e l e c t i o n S 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 7 5 , 5 , 3 5 0 , 2 5 0 ) . C h a r t With MyChart . S e t S o u r c e D a t a S o u r c e := 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 t o 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
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Plotting candle stick charts

Sub PlotOHLC ( ) Dim MyChart As C h a r t S e t MyChart = A c t i v e S h e e t . S h a p e s . AddChart ( xlStockOHLC , 3 7 5 , 5 , 3 5 0 , 2 5 0 ) . C h a r t With MyChart . ChartStyle = 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 t o 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 = x l L o w . 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
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Computational Finance and Risk Management
http://depts.washington.edu/compfin
45 / 45

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Computational Finance and Risk Management

Financial Data Access with SQL, Excel & VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

The QueryTables collection

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

The QueryTables.Add Method

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

The QueryTable.Refresh Method

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

Properties and methods of the QueryTable object

Updates an external data range (QueryTable)

see QueryTable Obect (Excel) http://msdn.microsoft.com/en-us/library/office/ff198271.aspx

Steps to retrieve data from an external data source

Most data fetches will follow this basic procedure:

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

Browser initiated download

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

Browser initiated download

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

Full Yahoo nance download string

Data Access with SQL, Excel & VBA

Data access with VBA

VBA code to download Yahoo data

adapted from S. Beginninga, Financial Modeling, 3rd Ed.

Unformatted yahoo download results

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

VBA code to download Yahoo data

Properly formatted yahoo download results

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA