VB macros on Zoho sheet April 29, 2008
Posted by James Webster in : finance , add a commentInteresting news from Zoho, given that I have previously thought about a runtime for VBA implemented in .Net… Zoho Sheet now has support for VB macros (via TechCrunch). Since this runtime is implemented in Java, I can’t imagine they support ActiveX or COM integration. Also they are an online solution and obviously they don’t support the full set of Excel objects and functions just yet (here’s the list they do support). But its interesting nonetheless that someone has had a run at this idea. Someone make this available as a .Net library please!
Excel, multi-monitors and quant finance
Posted by James Webster in : finance, development , add a commentWhilst working with a couple of spreadsheets this morning I wondered; Why doesn’t Excel have better support for multi-monitor applications? More and more developers have at least two monitors on their workstations these days and practically everyone on a trading desk has Excel running and at least three (probably many more) flat-panels connected to their workstation. Realtime Soft’s Ultramon is a good Windows multi-monitor utility but it doesn’t rearrange the MDI windows within the main Excel frame. Might be something for Resolver Systems to think about… Or perhaps there is an opportunity for someone to write an add-in that beefs up Excel in this regard.
Some links from the intersection between Microsoft technologies and quantitative finance;
- The Microsoft HPC++ CompFin Lab looks interesting:
The Microsoft HPC++ CompFin Lab integrates Microsoft Windows HPC Server, a central market data database and Microsoft productivity products to provide university courses with an online service to publish, execute and manage computational finance models.
- I’m looking forward to seeing what the combination of the O’Reilly School of Technology and Wolfram (Mathematica) come up with as well.
- Speaking of Resolver Systems, they recently announced their ‘Quant’ edition. As a software developer, I’m not sure I want to encourage more spreadsheets though
- Will products like Centerspace’s NMath provide a path to enable quants to let go of C++ and jump into the C# world? The NMath suite is a managed wrapper around the Intel Math Kernel Library. They have a some basic benchmarks available here (pdf).
More thoughts on derivatives risk and grid computing April 25, 2008
Posted by James Webster in : finance, development , 1 comment so farLike ‘em or loath ‘em, derivatives are here to stay… probably. For more on that discussion, check out Economist.com’s well-balanced article ‘Wither the derivative?’.
What the credit crunch and sub-prime crisis have highlighted is the ever increasing need for effective risk management of derivative contracts. My day job has involved enhancing a scenario analysis system to stress-test hundreds of exotic derivative positions; ultimately this means processing a huge number of quantitative finance calculations. Naturally a grid computing environment is involved.
So a few thoughts about that. I previously wondered about using Amazon EC2 to cheaply scale up on demand. It looks like DataSynapse, one of the leading grid vendors on the Street has had the same idea: see Today’s Grid forecast: “Partly Cloudy”.
GridGain, an open-source grid computing framework for Java has been coming along nicely. It would make a suitable alternative to Hadoop in my recommended open source derivatives risk platform stack. They are also thinking about EC2 on their roadmap:
We are working on seamless integration between external clouds like Amazon EC2 for on-demand discovery within GridGain. This feature will allow automatically or programmatically “boot-up” external cloud when load picks up and “power it down” when load subsides.
Nice. Where is the GridGain equivalent for .Net? Alchemi.Net looks fairly dormant. Also, Terracotta have almost released a new version of their ‘clustered JVM’ product; combined with its support for Ehcache is it an effective replacement for Oracle (nee Tangosol) Coherence?