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The Future of Trading Systems?Harnessing the collective
power of Excel
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The Future of Trading Systems?
The proliferation of Microsoft Excel spreadsheets in the capital
markets front office has brought many benefits to trading desksworldwide - not least the speed and flexibility needed to bring
products to market quickly and efficiently, thereby maximizing
profitability and market share. However, Excel's dominance has
also presented issues. In some organizations, spreadsheets are
running out of control, creating operational and financial risks and
posing problems for security and regulatory compliance.
A new future may now be in prospect for trading systems - a
future in which the flexibility and familiarity of Excel is
maintained, but the current devolved fragmentation of spreadsheets is replaced by more centralized control, thereby
reducing risk and opening up opportunities for higher revenues
and lower costs. At the core of this potential new model is
Microsoft's Excel Services, a new technology offering enabling
Excel spreadsheets to be scaled across user groups, calculations to
be efficiently computed on the server, and change to be ‘locked
down' through centralized authorization. Trading Systems may
evolve from prototype spreadsheets to fully deployed enterprise
supported applications without the need for long costly and riskysystems implementation programs. Will this be the future of
trading systems? There are clear challenges on the path from
legacy stand-alone Excel to this new server side variant, but we
now believe it is an option the capital markets players should
seriously consider.
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Excel is popular across many
sectors...but nowhere has itgained such a strongstranglehold as on the citytrading floors.
Across the capital markets industry,
the Microsoft Excel spreadsheet has
become traders' undisputed tool of
choice for financial modeling,
pricing calculations, and managing
risk. Clearly, Excel is popular across
many sectors, from education to
small businesses to multinationals.
But nowhere has it gained such a
strong stranglehold as on the city’s
trading floors.
The fact is that capital markets
institutions depend crucially on Excelspreadsheets for designing and
processing fast, accurate calculations
to support trading decisions. Every
working day, institutions including
brokerage houses, investment banks,
asset and wealth managers, and hedge
funds use Excel to analyze risk, value
portfolios, set product pricing, run
simulations, and make business
decisions. All over the world, capital
markets firms use Excel to develop new
instruments, from equity derivatives to
structured credit products.
They do so because Excel offers a fast
and easily-accessible mechanism for
keeping abreast of rapid change, by
enabling ideas to be quickly converted
into reusable functionality. The
flexibility and speed of development
that Excel offers, coupled with the
relatively low level of technical
knowledge and experience required tobuild applications rich in
functionality, have positioned Excel as
arguably the number one trading tool
in the world. When the low
acquisition costs of the technology
are also taken into account, it is clear
that Excel delivers a truly exceptional
return on investment. In short, Excel
is cheap, adaptive, and gets new ideas
to market quickly.
Meeting front-office needs...
As a result of these inherentadvantages, the usage of Excel in
capital markets has not only become
pervasive, but has extended to a
remarkable degree of breadth and
depth. From the perspective of the
end-to-end trade lifecycle, Excel now
touches every key stage [see Figure 1].
While Excel's influence in the front
office is all-encompassing, it does vary
by area. An industry survey by
ClusterSeven1, a specialist developer of enterprise spreadsheet management
software, illustrates the areas of the
front office where Excel has achieved
the deepest penetration [see Figure 2].
The traders' tool of choice
In short, Excel is cheap,adaptive, and gets new ideasto market quickly.
1. “Operational Spreadsheets: a growing awareness" by Ralph Baxter, Director, ClusterSeven
All over the world, capitalmarkets firms use Excel todevelop new instruments, fromequity derivatives to structuredcredit products.
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Pre Trade Post Trade
TradeCapture
Pricing Trade ExecutionTradeBooking
Lifecycle Management
CRMProductStructuring/Development
Research
Confirmation SettlementCashManagement
Accounting &PnL
Product Creation: Excel is thecornerstone of new modelcreation & regression testing.These models can easily beamended to adjust pricing toaccount for particular riskfactors specific to a clientExcel Dependency: Medium
Trade Execution: In-house & 3rd
party execution products typicallyprovide Excel interface, enablingdealer to trade direct fromspreadsheetExcel Dependency: Medium
Lifecycle Mgmt: Excel often used inplace of Event Mgmt application totrack and manage trade events,market events and Calendar Eventssuch as fixing dates, cashflows andexpiriesExcel Dependency: High
Pricing: Generate ‘House’ price,connect Excel to in-house analyticslibraries and inbound market datafeeds. Manage price and quotescontributions to market directly fromExcel using APIsExcel Dependency: High
Trade Booking: Trade details exported toexcel-based Trade Tickets. Trade entry forcomplex products often fed fromspreadsheet to mainstream systemsExcel Dependency: Medium
Risk Mgmt: Risk libraries, incl trade data anduser parameters, used to view and controldesk exposure. Volumes of Excel use areparticularly high for new or highly complexproductsExcel Dependency: High
Risk Management
8
9
9
9
11
9
18
25
23
9
9
46
38
23
36
18
9
11
36
37
46
55
64
73
78
91
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
Never Occasionally Frequently Very frequently
New business analysisand support
Investment appraisal
New product/instrumentcreation
Position management
Pricing and valuations(e.g. pricing tool)
P&L calculation
Risk and/or portfoliosimulation
Risk calculation
Figure 1: Excel usage
Figure 2: Spreadsheet usage within the front office
Source: ClusterSeven
Source: Accenture research, Accenture Capital Markets
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The headlong growth of Excel usage in
capital markets reflects the constant
and intensifying pressure on the front
office to simultaneously bring new
products to markets, exploit potential
windows of high profitability, and
establish long term market presence.
Traders and quantitative analysts
(quants) work together closely to build
models in accelerated timeframes,
combining market, reference and
trade data in spreadsheets that wrap
analytical libraries. The widespreadand constant creation of these
prototype Excel spreadsheets is
commonly justified by technology
departments, who describe them as
‘specifications’ for development teams
who will - at some unspecified future
date - build the functionality into
existing tactical enterprise systems
(see Figure 3).
It is not only new product innovation
that follows this design methodology,
but often simple enhancements,
advances in price modeling, or
acquisition of new market data. All of
these can be developed rapidly using
Excel by the desk teams, with a view
to assimilating them to the enterprise
platform at a later date.
Traders and quants worktogether closely to build modelsin accelerated timeframes,combining market, referenceand trade data in Excelspreadsheets that wrapanalytical libraries.
Inevitably, the time-lagbetween the conception of anew product and thesubsequent integration into theenterprise-wide ITinfrastructure results in thesetemporary Excel spreadsheetsbeing used for extendedperiods…
Why traders love Excel
Traders love Excel - and have done so for
several years. According to Dr Michael
Newberry, EMEA Product Manager of
High Performance Computing at
Microsoft, there are now 400,000
installations of Excel being used globally
by traders. And this number is rising all
the time, with many hundreds more
Excel-based applications being created
every day.
Excel's underlying advantages are clear. It
is a tool with which everyone is familiar,
from ten-year-old schoolchildren to
senior executives. Alongside its familiar
and user-friendly interface, Excel has a
strong, flexible and proven calculation
engine, and does not require complex
programming techniques. These
advantages have seen it become
ubiquitous among the global businesscommunity.
However, Excel really comes into its own
on the trading-floor. A good example is
its use within the world of derivatives
and structured products, where it has
become a major component in the
arsenal employed by traders faced with
the need to create and trade the most
complex and esoteric of deals. In this
competitive environment, where being
first to market can sharply enhance bothmargins and market share, Excel often
forms the backbone of the trade capture,
pricing, and risk management systems.
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Inevitably, the time-lag between theconception of a new product or
technique and the subsequent
integration into the enterprise-wide IT
infrastructure results in these
temporary Excel spreadsheets being
used for extended periods by the
trading desk to price and risk-manage
live trades. New products and
techniques are constantly being
introduced, and trading volumes in
some of them expands rapidly. So if
the rate of introduction outpaces the
speed with which technology
departments are industrializing the
existing Excel tools, more and more
products are left to be risk-managed
by Excel-based tools. Such a situation
is far from ideal.
Clear and present dangers
The proliferation of Excel-based tools
across the industry raises clear and
present dangers, both for tradingdesks themselves and for the
institutions that run them.
At root, the problem is that existingExcel spreadsheets are virtually
impossible to control centrally. The
strengths that have made Excel so
popular - its flexibility and speed of
development - are the very factors
that are now increasingly presenting
support and management issues that
can result in serious operational risks
to the organization. The sheer volumes
of business-critical spreadsheets used
by the front office, and the speed and
ease with which new bespoke
instances can be created, mean that
validating all pricing and risk
calculations as ‘fit for purpose'
becomes extremely difficult. This
exposes the business to the danger of
incorrect risk assessments, not to
mention audit and compliance
infringements. Cells can be changed
without creating audit trails, and
spreadsheets can be e-mailed across
the enterprise and even to external
customers - putting the bank's
intellectual property at risk.
Figure 3: The time-lag between new product conception and integration into
the enterprise system
1. Trader creates
new complex
derivative product
2. Trader and
quants create
spreadsheet
to price and
book new trades
4. Risk calculated
off spreadsheet with
new trades
continuing to be
booked on
spreadsheets
6. Front office IT
integrate product
into the strategic
trading systems
3. First Trade
undertaken with
Risk and PnL
calculated off
spreadsheet.
5. Control function
puts a booking freeze
on Product due to
excessive
operational risk
1. Trader creates
new complex
derivative product
2. Trader and
quants create
spreadsheet
to price and
book new trades
4. Risk calculated
off spreadsheet with
new trades
continuing to be
booked on
spreadsheets
6. Front office IT
integrate product
into the strategic
trading systems
3. First Trade
undertaken with
Risk and PnL
calculated off
spreadsheet.
5. Control function
puts a booking freeze
on Product due to
excessive
operational risk
Time
O p e r a t i o n a l R i s k
The strengths that have madeExcel so popular - its flexibilityand speed of development -are the very factors that arenow increasingly presentingsupport and management issuesthat can result in serious
operational risks to theorganization.
Source: Accenture research, Accenture Capital Markets
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In addition to the challenge of
controlling the validity of Excel-based
tools, there is also the desktop nature
of the tools and the computational
limitations that this brings.
Organizations have numerous
ingenious mechanisms designed to
harness the computational power
needed to undertake all the
calculations required for end of day
risk calculations. But there is ever-
increasing pressure to improve the
performance of the calculations in
Excel, and the ability to meet thisneed is fundamentally limited by the
underlying desktop architecture being
used to conduct the computations. In
some cases the limitations of Excel,
the architecture and the resultant lack
of computational performance have
resulted in the inability of front
offices to trade new asset classes.
Given these issues, it is not surprising
that the front office's love affair with
Excel is not shared by most
investment banks' technology and
support functions. In general, IT
departments do not regard Excel as
‘proper' enterprise technology, but as
a quick and easy desktop calculation
tool. In their view, users across the
trading-floor have created
spreadsheet mania, and IT itself now
faces the challenge of regaining
control. The problem is however, that
the ongoing proliferation of spreadsheets means that the goal to
regain control is often receding rather
than getting nearer.
Investment banks' technology
departments currently face a three-
fold challenge: to manage and controlthe validity of Excel spreadsheet
based tools; to preserve one golden
source of pricing truth; and to
increase the speed and accuracy with
which these tools can be incorporated
into the existing enterprise IT
infrastructure to meet the constant
demand for improved performance,
scalability and stability. The hunt is on
for a solution that will meet these
three challenges.
…the limitations of Excel have
resulted in the inability of frontoffices to trade new assetclasses and continue trading inmaturing asset classes whenthey have breached approvedvolumes from controlledfunctions.
The problem is however, that
the ongoing proliferation of spreadsheets means that thegoal to regain control is oftenreceding rather than gettingnearer.
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It appears to offer the potentialfor a workable solution whilststill offering the prospect of retaining Excel's flexibility andthe look and feel that are soloved by traders.
From an IT department's point of
view, if Excel spreadsheets must be
used, the ideal solution would enable
the centralization of processing and
control over these spreadsheets onto
a server. This in turn would enable the
bank to harness the collective power
of Excel tools across the organization,
turning the problem of spreadsheet
mania into a positive asset -
effectively creating a new and
powerful shared resource capable of
boosting revenues, reducing costs and
mitigating operational risk. WithMicrosoft's launch of Excel Services as
part of its Microsoft Office SharePoint
Server 2007 offering, it seems that
just such a solution may now be to
hand.
Excel Services introduces a new way
to develop and deploy Excel built
applications under the .NET
framework, and provides the ability to
run Excel spreadsheets on the server
side. As such, it appears to offer the
potential for a workable solution to
the challenges with Excel faced by
front-office technology functions,
whilst still offering the prospect of
retaining the application's flexibility
and the look and feel that are so
loved by traders.
Put simply, Excel Services enables
spreadsheets to be uploaded to the
server for sharing using a range of methods including Web Services and
dynamically rendered web pages.
These distribution mechanisms and
server side execution require
calculations to be described not in the
legacy Excel manner by visual basic
applications (VBA), but through user
defined functions (UDFs) written using
.NET technology. This move from VBA
to .NET is the fundamental enabler for
server side management andallocation, and for distributed
computation.
The result is a major change from
current desk development practices.
The new process would start with the
creation of a spreadsheet and upload
to the server by an authorized person.
The new spreadsheet functionality
would then be made available to all
authorized users through a number of
different mechanisms: rendered as
HTML using a Web browser;
programmatic interface via the Excel
Web Services API; or downloaded as a
complete spreadsheet for desktop use.
The key feature is that the general enduser does not have the ability to alter
or modify the shared spreadsheet on
the server without authorization and
auditable change control.
This new process opens up a wide
range of benefits. The move to server
side control protects the integrity of
spreadsheets, including their data and
computations, mitigating the risks
around validating all pricing and risk
calculations. Security is vastly
improved, through the ability to
authenticate and control which users
can see and change which data,
restrict the distribution of
spreadsheets across and beyond the
organization, and reduce the
likelihood that users will carry
business-critical spreadsheets and
data around on their laptops.
Regaining control: Excel Services
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to be tackled individually on each user's
desktop.
Further benefits are provided as Excel
Services technology is built on the new
SharePoint Server 2007 platform which
in turn includes Windows Workflow
Services. This technology enables
workflows to be designed for a
spreadsheet to centrally manage
publication and amendments. The
ability to define a workflow around
spreadsheets helps reduce operational
risk by:
1) Ensuring centralized sign off of
change
2) Providing notification of change
events to major stakeholders and
risk/control departments
3) Maintaining a full audit trail of
modifications
and business layer, and load-balances
the requests made to Excel Calculation
Services. Within this overall process, the
role of Excel Calculation Services is to
load Excel workbooks, calculate them,
call custom code (user-defined
functions - UDF) and refresh the
required external data. It also maintains
the session state for interactivity. If
desired, the Application Server can be
distributed using Windows Compute
Cluster Server (CCS) or a comparable
offering, opening up the potential for
high performance Excel computation.
The overall approach provides two key
benefits: a single enterprise-wide
source of data for a particular activity,
and a server side space where all
computations are performed. As a
result, performance problems can be
addressed centrally rather than having
The technology behind
Excel Services
Excel Services is a component of
Microsoft Office SharePoint Server
2007, enabling Excel applications to be
stored and run on the server side rather
than the desktop, and providing the
ability to lock down spreadsheets
centrally. By deploying the new version
of Microsoft Office onto desktop
computers, and Excel Services on the
server under SharePoint Server 2007,
the IT function can ensure that ratherthan users having their own version of
a spreadsheet on their desktop PC, they
share the spreadsheet via the server.
After calculation of the formulas in the
Excel workbooks, the results can be
offered to the user over HTTP via a Web
Browser or as Web Services. Excel
Services handles the necessary
communication between the Web tier
Web Server
Application Server
SharePointContent DB.
Clients
Web
Business
Data
Excel Web Access Excel Web ServicesExcel Web Access Excel Web Services
Excel Calculation
Services
External Data Sources
y
UDF
Library
3rd Party
Software
Component
Excel Spreadsheet
InternetExplorer
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However, the really key benefit in
terms of operational risk is that
moving spreadsheets to the central
server puts IT in control of each
calculation in each spreadsheet.
Trading desks today have a wide
range of spreadsheets containing a
vast array of quant code, analytics
and pricing calculations. As market
conditions and pricing methodologies
change, there is a risk that
spreadsheets may get out of date,
resulting in a price being published -
and trades executed against it --under an obsolete calculation method.
This is a major operational and
financial risk that Excel Services can
help to mitigate. The new process is
also far more scalable (see
information panel). And the ability to
lock models down and control them
centrally for formal transaction
processes presents substantial
regulatory compliance benefits in
guaranteeing the accuracy of the datagoing into financial controls (see
Figure 4).
There are further benefits at the
enterprise level. Retaining the new
UDF business logic created by desk
developers allows technology
functions to easily reuse the .NET
libraries in their enterprise systems. It
provides a vision where spreadsheets
evolve into production applications
removing the need for long, costly
and risky implications. And on a
commercial level, having a central
version of the truth - and a central
version of each calculation - means
trading desks and the institutionsowning them can be faster and more
confident in their response to
changes in market conditions and
customer demand. This in turn
contributes to greater flexibility and
responsiveness, helping to build
differentiation in the marketplace and
competitive edge. As a result, the
reduction in the risk profile is likely to
be accompanied by a rise in revenues.
Retaining the new business logiccreated by desk developers allowstechnology functions to easilyreuse the code and libraries intheir enterprise systems.
Figure 4: New process flow with Excel Services
Source: Accenture Research
1. Trader creates
new complex
derivative product
2. Trader and
quantscreate
spreadsheet
to price and
book newtrades
4. First Trade
undertaken with Risk
and PnL calculated
using central analytic
from Excel Services.
6. Front office IT
integrate UDF
quickly into the strategic
Net trading systems
3. UDF and
Analytics
deployed
and spreadsheet
published tosharepointDB.
5. Second trade,
third trade etc….
Solution scales and
all code centrally
managed.
1. Trader creates
new complex
derivative product
2. Trader and
quantscreate
spreadsheet
to price and
book newtrades
4. First Trade
undertaken with Risk
and PnL calculated
using central analytic
from Excel Services.
6. Front office IT
integrate UDF
quickly into the strategic
Net trading systems
3. UDF and
Analytics
deployed
and spreadsheet
published tosharepointDB.
5. Second trade,
third trade etc…
Solution scales and
all code centrally
managed.
Time
O p e r a t i o n a l R i s k
It provides a vision wherespreadsheets evolve intoproduction applicationsremoving the need for long,costly and risky implications.
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Scalability and performance: a key
benefit for derivatives
For derivatives trading, a further key
benefit of the Excel Services technology
is its scalability. Derivatives is an area
of capital markets characterized by
rapid growth in new products requiring
complex bespoke calculations. The need
to bring these products to market
quickly and price them effectively has
seen Excel become the tool of choice. If
the first couple of trades in the new
product are successful, then tradingtransaction volumes can escalate
dramatically. However, unless the
product's pricing computation is
implemented quickly and accurately on
the enterprise system, the risk
management across all these trades
may still be dependent on the original
Excel spreadsheet that was thrown
together at the start - and which may
be copied across to different desktops
as trading takes off, creating expanding
operational risks.
What is needed is a technology
platform that is scalable enough to
keep pace with the growth in the
business value of the product, based on
a single shared source of data and
computations. Excel Services can
deliver this, by starting with an
enterprise-level .NET implementation
that enables scalability and smooth
growth, rather than requiring a ‘big
bang' as the spreadsheet and its
computations are re-implemented on
the enterprise system.
Excel Services is intended to be used
by multiple users and as such, it has a
multi threading model that is designed
around running several requests from
different users. Traditionally, Excel
spreadsheets have been
computationally distributed using third
party vendors like Platform Symphony
(www.platform.com) and DataSynapse
(www.datasynapse.com) but Excel
Services offers the option of
distribution with Compute Cluster. By
running Excel Services on each node of
a Compute Cluster a flexible and
scalable distributed computing solution
can be easily built. There are
significant overheads - setting up job
scheduling, licensing costs, and
external libraries require .NET wrappers
- but fundamentally, Excel Services
offers a quick and easy mechanism for
distribution and performanceenhancement.
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While the benefits of moving to Excel
Services may appear clear, there are
inevitably hurdles on the way. As we
mentioned above, the new version of
Excel that runs under Excel Services
uses UDF rather than VBA technology.
There is potential effort and cost
involved in converting the existing
mass of Excel spreadsheets from the
legacy VBA to the UDF required for
server side control. Microsoft has
already confirmed that it plans to
stop supporting VBA, so this is a
challenge that will ultimately face allorganizations using Excel.
The problem is that the process of
conversion from VBA to UDF is non-
trivial and - currently - both time and
skill-intensive. In many cases, the
challenges are compounded by the
fact that the VBA code was written in
a rush against tight market deadlines
and is not well-documented. This
increases the risk that some elements
of a calculation could be lost in the
transition to UDF.
Capital markets players face a
dilemma. Even if a standardized
methodology is applied to the process,the risks and costs of converting
legacy spreadsheets to UDF may not
be justifiable: yet starting again from
scratch with a new UDF platform risks
losing a wealth of intellectual
property, accrued business knowledge,
and value in the existing spreadsheets.
A workable compromise may be to set
a threshold based on explicit criteria -
high computation content, multiple
users, business criticality in terms of risk and/or pricing calculations - and
only convert those spreadsheets that
meet this threshold.
Irrespective of the chosen approach to
conversion, the fact remains that
continued proliferation of VBA
spreadsheets is simply storing up
problems for the future; problems that
will need to be addressed at some
stage. Halting this proliferation sooner
rather than later will avoid a re-run of
the situation facing those investment
banks that adopted the NeXT platform
in the early 1990s, many of whom are
still trying to move applications off
the technology ten years after support
for it was withdrawn.
Conversion: A hurdle on the road
Halting this proliferation soonerrather than later will avoid are-run of the situation facingthose investment banks thatadopted the NeXT platform inthe early 1990s, many of whomare still trying to moveapplications off the technologyten years after support for itwas withdrawn.
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The death of VBA
Since its introduction in 1993, VBA hasallowed Microsoft Office and Excel to
conquer more of the business IT space
then many would ever have predicted.
From its humble beginnings as a simple
spreadsheet application, Excel is now at
the core of a bewildering array of
solutions from simple financial records
to complex trading and risk
management spreadsheets - all taking
advantage of the flexibility and ease of
use of VBA.However, there are mounting threats to
the dominance of VBA, and with good
reason. Corporate IT departments are
demanding greater levels of control and
auditing, and many businesses are keen
to harness the power of new
technologies such as grid computing
and web services. Companies also worry
about the cost of creating a system
twice; firstly in VBA and then as a full
enterprise system, and complain thatthis duplication is an unnecessary
waste of effort.
The latest version of Office for the Mac
will discontinue support for VBA
entirely, and with the PC version of the
popular Office suite now supporting
.NET development with advanced
features such as Excel Services and the
VSTO (Visual Studio Tools for Office)
environment, many are beginning to
wonder if the time is not right to
follow in the footsteps of Visual Basic 6
and make the move to the .NET
platform.
Certainly, although support for VBA
macros will continue for the next
couple of years, those wishing to
leverage the latest developments both
in the individual applications such as
Excel, and through deep integrations
with systems such as the latest
incarnation of SharePoint will find an
ever increasing pressure to move away
from VBA to .NET - Microsoft's
preferred, and best supported
development platform for Office.
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.dll(cir)
.dll(cir)
.dll(Win 32)
Any.NET language
Managed C++ Class Library
QuantLib in C++
.NET Methods Calls
.NET Interop Services
.UDFs
InteropLayer
CoreFunctionality
Exploring the benefits
In our view, Excel Services appears to
offer a potential answer to the
problems faced by technology
departments within investment banks
and wider capital market players as
the volume of derivatives productscontinues to rise and the number of
Excel spreadsheets used across the
front office continues to grow. To
understand if this technology is a
viable foundation for a trading
platform, Accenture's Capital Markets
Solutions Group have recently been
engaged on a project to explore the
potential and demonstrate the
benefits of the Excel Services
technology in a capital marketstrading environment.
The project was able to answer two
main questions:
1) Is Excel Services a viable platform
on which to build a scalable and
performant enterprise derivatives
trading systems?
2) What methodology and tools are
required to port an existing
spreadsheet with extensive VBA,
wrapped C++ analytics libraries
and connections to external data
sources to the new Excel Services
architecture?
At the time of writing, the project has
been running successfully for a
number of months and has defined a
robust and thread-safe three tiered
extendable architecture and built a
server side spreadsheet based fixed
income derivatives trading system
from the bottom up using UDF. Our
aim was to examine the feasibility of
using this new technology in a trading
situation, and to discover the issuesand difficulties with building a trading
platform with Excel Services, scaling
the risk calculations, and running
overnight batches using Microsoft
Compute Cluster Server. This is now
complete.
The system provides both a browser
interface and Web Service API. The
browser approach is, in reality, only
suitable for users with well defined
requirements that are unlikely to
change frequently. In the scenario
where a trader wants to use a server
side libraries from within their
spreadsheet to, for example, build
their own custom pricing model
within a ‘play-pen' environment they
can interface directly through the
programmatic interface of Excel Web
Services API. This method provides
an excellent way to achieve the
balance of flexibility over control.
The project is now addressing the
problems involved with portingexisting Excel spreadsheets with VBA
to the new architecture. A reusable
methodology and tool set have been
developed that can provide
accelerators to the controlled
transformation of front office Excel
spreadsheets to a future state Excel
Services platform.
Screenshot of the system’s Bond Calculator Some architectural decisions made by the project team.
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The position is clear. Excel is currently
embedded within the front office
trading environment. But as well as
presenting a number of operational
problems and risks, the legacy VBA-
based Excel that is continuing to
proliferate in trading desks globally is
now a burning platform. This means
doing nothing is not a viable choice.
Excel has won its dominant position
for several reasons - not least that it
provides a degree of flexibility and
ease of use that enables the rapidtransformation of ideas into reusable
functionality. Given this background,
it is not surprising that getting the
front office business to part with their
beloved Excel, which is critical to their
daily quest for profit, has proven to be
extremely difficult.
Now Excel Services offers the prospect
of a less combative approach - one
that enables the organization to
harness and target the power for
Excel more effectively, rather than
trying to tackle and suppress
‘spreadsheet mania' head-on.
Technology departments no longer
need to fight with the front office to
remove Excel from the stack, Excel
Services offers an opportunity to
continue to embrace the fundamental
building block of Excel, but with the
added bonus of strategically moving
the front office business away fromnumerous unmanaged desktop tools,
to a more controlled environment
with the added benefits of server side
performance.
Of course, there are hurdles. The
technology is still immature;
performance and concurrent
scalability across a cluster requires
considerable engineering and
expertise; and there is a clear
programming paradigm shift required
by the desk development teams to
move away from VBA to .NET defined
libraries while still providing rapid
development. However, as the new
SharePoint technology matures and is
adopted within capital markets
institutions or organizations for their
standard information sharing, there
will be a clear opportunity to embrace
the world of Excel Services within the
front office. In our view this offers a
compelling vision for the trading
platform of the future.
Traders will be happy that their love
affair with Excel is not over. IT
functions will be content that this
relationship will now be more long-distance than before. Excel’s place as
a fundamental building block for
Trading Systems is uncertain, however
capital markets firms seeking the
future should consider Excel Services
as a genuine contender.
Next steps: Inaction is not an option
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Contacts
Dean Jayson
Accenture Financial Services
Capital Markets
+44 20 7844 8295
+44 795 841 4692
dean.l.jayson@accenture.com
Dominic Stanyer
Accenture Financial Services
Capital Markets
+44 20 7844 2981
+44 797 326 4962
dominic.s.stanyer@accenture.com
Michael Cheek
Accenture Financial Services
Capital Markets
+44 20 7844 9351
+44 797 757 3330
michael.cheek@accenture.com
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