Vbasql PDF

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
2 / 45
Outline
VBA chart creation
3 / 45
Section references
J. Green, S. Bullen, R. Bovey, M. Alexander

Excel 2007 VBA Programmers Reference
Wiley, 2007
Chapter 21
4 / 45
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
5 / 45
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 file path and name>"
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
6 / 45
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
7 / 45
Properties and methods of the QueryTable object

Properties
BackgroundQuery
True if queries for the query table are

performed asynchronously (in the background)
CommandText
Returns or sets the command string for the

specified data source
CommandType
The CommandType describes the value of the

CommandText 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.aspx
8 / 45
Steps to retrieve data from an external data source
Most data fetches will follow this basic procedure:

1
Define the connection string
Define 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
9 / 45
Outline
VBA chart creation
10 / 45
Section references
Simon Beginninga
Financial Modeling, 3rd Edition
Massachusetts Institute of Technology, 2008
Chapter 41
Wiley, 2007
Chapter 21
11 / 45
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=" specifies the Yahoo ticker symbol
12 / 45
Browser initiated download

Since only the ticker symbol and no date range was specified, all available
data 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
ticker symbol
fromMonth - 1
fromdat (2 digits)
fromYear
toMonth - 1
toDay (2 digits)
toYear
d=day, m=month
14 / 45
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.

15 / 45
Unformatted yahoo download results

The VBA query inserts the CSV data as one-cell-per-row
16 / 45
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.
17 / 45
Properly formatted yahoo download results
18 / 45
Outline
VBA chart creation
19 / 45
Section references

Wiley, 2007
Chapter 21
20 / 45
Data access plan
21 / 45
ODBC Setup
22 / 45
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
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Read from ODBC Access database

Sub goatHomers ( )
Dim va rConn 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 " & _
"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" ) )
End With
End Sub
Note DSN-less ODBC connection
24 / 45
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
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 " & _
"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" ) )
End With
Guy Yollin
End
Sub
(Copyright 2012)
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 " & _
"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 ; "
...
26 / 45
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
27 / 45
Outline
VBA chart creation
28 / 45
Section references
John Walkenbach
Excel 2010 Power Programming with VBA
Sams, 2010
Chapter 8
29 / 45
Black-Scholes pricing formulas

Price of a call option:
c = S0 N(d1 ) Xe rT N(d2 )
Price of a put option:
S0 = spot price
X = strike price
= volatility
T = time to expiration
r = risk-free rate
p = Xe rT N(d2 ) S0 N(d1 )
Where:
ln( SX0 ) + (r + 2 /2)T
d2 = d1 T
d1 =
N The cumulative normal distribution function
30 / 45
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
Then
CND( d1 ) X Exp( r T) CND( d2 )
" p " Then
Exp( r T) CND(d2 ) S CND(d1 )
End F u n c t i o n
Source: http://www.espenhaug.com/black_scholes.html
31 / 45
Polynomial approximation to normal CDF
N(x ) =
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
0
where
k=
1
1+x
= 0.2316419
a1 = 0.319381530
a2 = 0.356563782
a3 = 1.781477937
a4 = 1.821255978
a5 = 1.330274429
32 / 45
' // 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
33 / 45
Black-Shoales option pricing
34 / 45
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
35 / 45
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
36 / 45
Outline
VBA chart creation
37 / 45
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
38 / 45
Record column chart creation process
Select A1:A17, H1:H17
Change Axis Labels to Low
Click record macro
Align text to rotate 270
Insert clustered columns chart
Delete legend
Right click and Format Axis
Click stop recording
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
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First modification 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
41 / 45
Finished Plot Returns procedure

Sub P l o t R e t u r n s ( )
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 ( 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
42 / 45
Alternative plotting method using ChartObjects

Sub P l o t P r i c e s ( )
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 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
43 / 45
Plotting candle stick charts

Sub PlotOHLC ( )
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 P o s i t i o n = x l L o w
. 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
44 / 45
Computational Finance and Risk Management
http://depts.washington.edu/compfin
45 / 45

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Computational Finance and Risk Management

Financial Data Access

Data Access with SQL, Excel & VBA

Data access with VBA

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

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

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

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

The QueryTables collection

The QueryTables object is a collection of QueryTable objects

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

The QueryTables.Add Method

The data source for the query table

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

An optional SQL query string for an ODBC data source

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

The QueryTable.Refresh Method

Guy Yollin (Copyright 2012)

Used only with QueryTables that are based on the

Data Access with SQL, Excel & VBA

Data access with VBA

Properties and methods of the QueryTable object

True if queries for the query table are

Returns or sets the command string for the

The CommandType describes the value of the

Gets/sets text file column format

True if the comma is the delimiter when you

Updates an external data range (QueryTable)

see QueryTable Obect (Excel)

Data Access with SQL, Excel & VBA

Data access with VBA

Steps to retrieve data from an external data source

Most data fetches will follow this basic procedure:

Define the connection string

Define 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

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Data access with VBA

Downloading equity data from Yahoo Finance

Read data from SQL databases

Implementing VBA worksheet formulas

VBA chart creation