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
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
Outline
Section references
J. Green, S. Bullen, R. Bovey, M. Alexander

Excel 2007 VBA Programmers Reference
Wiley, 2007
Chapter 21
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
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
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
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
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 destination
3 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
Outline
Section references
Simon Beginninga
Financial Modeling, 3rd Edition
Massachusetts Institute of Technology, 2008
Chapter 41

Wiley, 2007
Chapter 21
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
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

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 - 1
b fromdat (2 digits)
c fromYear
d toMonth - 1
e toDay (2 digits)
f toYear
g d=day, m=month
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
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
Outline
Section references

Wiley, 2007
Chapter 21
Data access plan
ODBC Setup
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
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
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
End Sub
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 ; "
...
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
Outline
Section references
John Walkenbach
Excel 2010 Power Programming with VBA
Sams, 2010
Chapter 8
Black-Scholes pricing formulas
Price of a call option: S0 = spot price

X = strike price
c = S0 N(d1 ) Xe rT N(d2 )
= volatility
Price of a put option: T = time to expiration
r = risk-free rate
p = Xe rT N(d2 ) S0 N(d1 )
Where:
ln( SX0 ) + (r + 2 /2)T

d1 =
T

d2 = d1 T
N The cumulative normal distribution function
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" Then

BlackScholes = S CND( d1 ) X Exp( r T) CND( d2 )
E l s e I f CallPutFlag = " p " Then
BlackScholes = 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.html
Polynomial approximation to normal CDF
1 N (x )(a1 k + a2 k 2 + a3 k 3 + a4 k 4 + a5 k 5 ) when x 0
( 0
N(x ) =
1 N(x ) when x < 0
where
1
k= 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 As Double , K As Double

Const a1 = 0 . 3 1 9 3 8 1 5 3 : C o n s t a2 = 0. 35 65 6 3 78 2:
Const a3 = 1 . 7 8 1 4 7 7 9 3 7 : C o n s t a4 = 1. 82 12 55 97 8:
Const a5 = 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
Black-Shoales option pricing
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
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
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
Record column chart creation process
1 Select A1:A17, H1:H17 6 Change Axis Labels to Low

2 Click record macro 7 Align text to rotate 270
3 Insert clustered columns chart 8 Delete legend
4 Right click and Format Axis 9 Click stop recording
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 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
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
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
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
Computational Finance and Risk Management
http://depts.washington.edu/compfin

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Computational Finance and Risk Management

Financial Data Access

2 Downloading equity data from Yahoo Finance

3 Read data from SQL databases

4 Implementing VBA worksheet formulas

5 VBA chart creation

2 Downloading equity data from Yahoo Finance

3 Read data from SQL databases

4 Implementing VBA worksheet formulas

5 VBA chart creation

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

The QueryTables object is a collection of QueryTable objects

Each QueryTable object represents a worksheet table built from data

The QueryTables.Add Method creates a new query table

Connection The data source for the query table

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

BackgroundQuery Used only with QueryTables that are based on the

Most data fetches will follow this basic procedure:

2 Downloading equity data from Yahoo Finance

3 Read data from SQL databases

4 Implementing VBA worksheet formulas

5 VBA chart creation

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

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

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

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

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

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

2 Downloading equity data from Yahoo Finance

3 Read data from SQL databases

4 Implementing VBA worksheet formulas

5 VBA chart creation

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

varConn = "ODBC; DSN=lahman "

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 ) } "

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" ) )

Note DSN-less ODBC connection

varConn = "ODBC; DSN=l a h m a n S Q L i t e "

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 Rw As Long , C o l As Long , c As Long

' Create RecordSet

' Write RecordSet to r e s u l t s area

2 Downloading equity data from Yahoo Finance

3 Read data from SQL databases

4 Implementing VBA worksheet formulas

5 VBA chart creation

Price of a call option: S0 = spot price

ln( SX0 ) + (r + 2 /2)T

N The cumulative normal distribution function

Dim d1 As Double , d2 As Double

I f CallPutFlag = "c" Then

Dim L As Double , K As Double

The WorksheetFunction object, which is contained in the

Dim d1 As Double , d2 As Double

I f C a l l P u t F l a g = " c " Then

2 Downloading equity data from Yahoo Finance

3 Read data from SQL databases

4 Implementing VBA worksheet formulas

5 VBA chart creation

Duane Birnbaum and Michael Vine

1 Select A1:A17, H1:H17 6 Change Axis Labels to Low

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