Excel & Python• Open Source Technology in Fintech, Zürich

July 14th, 2016 Felix Zumstein, CFA

Materialhttps://github.com/ZoomerAnalytics/talks/tree/master/SwissFinteCH_zrh_20160714

2

About me

• Consultancy (Zürich):

– Consulting: Web apps for Finance

– Workshops: Excel & Python

– Open-source: xlwings

• Previously:

– 9yrs in Banking /Asset Management

– Background: Finance & Economics

3

Agenda

4

1) Scripting/Interaction• Interactive data analysis• Automated Testing of Spreadsheet Models

2) Macros• Monte Carlo Simulation• From Excel to web apps

3) User Defined Functions (UDFs)• Correlation Analysis

1 Scripting/Interaction

GDP per capita

6

Source of xls file:http://data.worldbank.org/indicator/NY.GDP.PCAP.CD

+

Spreadsheet Risk: Automated Testing

7

• Audit/Regulation require effective controls

• Automated unit tests are a cornerstone of modern software development (”test-driven development”)

• Excel: doesn’t offer any means to create unit tests

• Python: has a built-in unit test module

• Unit testing with xlwings is unintrusive:

- No add-in to be installed

- No changes to the original VBA code base

- Python standard lib + xlwings is all you need

• It’s a great way to verify & debug legacy VBA code

2 Macros

Monte Carlo Simulation

9

simulation.py

xlwings_app.py web_app.py

Source code and hosted app

10

Hosted Sample: www.zoomeranalytics.com/simulation-demo

Source Code: https://github.com/ZoomerAnalytics/simulation-demo

Prototype analytical web apps

11

vs.

3 UDFs

DJIA: Correlation Analysis

13

=CORREL(array1, array2)

Excel’s Correlation formula accepts just 2 data sets:

Here’s how we’re going to fix this:

• Add CORREL2 to get the full correlation matrix• Visual representation: Heatmap

Questions?

twitter:@zoomeranalytics

xlwings newsletter:via xlwings.orgwww:xlwings.org, zoomeranalytics.com