Deriscope

The Excel Derivatives Periscope

Version History

05 Dec 2017 version 2.5.4

New Features:

  • Live data from IEX (Investors Exchange) are now available. They cover true real time (sub-second time delay) prices of over 8,000 US stocks and ETFs. Both synchronous and asynchronous requests are supported. Also several statistical indicators - called stats by IEX - and company quarterly financial data are reported.
  • The synchronous and asynchronous live data from IEX are accessed through the same functions as those used for AlphaVantage by setting the feeds provider code to "IEX".
  • The statistical indicators are accessed through the new Deriscope formula dsStats.
  • The quarterly financial data are accessed through the new Deriscope formula dsFin.

Bug Fixes:

Improvements:

Other:

28 Nov 2017 version 2.5.4

New Features:

  • No Deriscope taskpane is any more loaded when Excel starts. This allows the user to work with Excel without any interference with Deriscope. It is nevertheless possible to configure Deriscope so that it loads automatically.
  • A new ribbon group item called Deriscope - a top menu item in versions earlier than Excel 2007 - appears that allow the user to switch on and off the Deriscope taskpane. A similar option is made available through the Tools button and Excel's context menu appearing after a mouse right-click.

Bug Fixes:

  • Increased overall taskpane stability in Excel 2013 and later by redesigning the taskpane manager. Fixed also a bug related to third party Add-Ins loaded together with Deriscope.

Improvements:

  • Now Deriscope works fine in Excel 2013 when Excel starts after the user opens a spreadsheet directly through the Windows Explorer.

Other:

  • Removed the Deriscope-managed workbook saving dialog introduced in version 2.5.0 and re-enabled Excel's native dialog.

15 Nov 2017 version 2.5.3

New Features:

Bug Fixes:

  • Restricted the number of tickers processed by Hist Request AV or Hist Request YF to a maximum of 27 to avoid a failure caused by a built-in Excel limitation. A similar restriction is also imposed on Hist Request Comp, this time with regard to the total number of individual requests.
  • Fixed a bug observed in relation to Hist Request Comp or when several tickers were processed by Hist Request AV or Hist Request YF, whereby the whole report failed even if only one of the constituent requests failed.

Improvements:

Other:

13 Nov 2017 version 2.5.2

New Features:

  • Enhanced the type Hist Request Comp to also accept individual requests that happen to share the same Function Name. Now, for example, a composite request may comprise two SMA requests differing on their time_period property.
  • Added the optional key Function Label in the Hist Request AV and Hist Request YF types so that the user can customize the label under which the respective data are reported in the combined (composite) report.

Bug Fixes:

  • Fixed a reported failure of the wizard menu option TimeSeries (Composite) under Tools -> Insert Function -> Live Feeds

Improvements:

Other:

10 Nov 2017 version 2.5.1

New Features:

Bug Fixes:

  • Small fix on dsHist: Ticker inputs containing blanks (invisible characters) caused url failures. Now such blanks are trimmed away.

Improvements:

Other:

09 Nov 2017 version 2.5.0

New Features:

  • Introduced live fx rates for physical and digital currencies (cryptocurrencies) from the Alpha Vantage provider. A total of 165 physical and 392 digital currencies are supported. All possible cross fx rates can be requested.
  • Introduced historical bitcoin fx rates from the Alpha Vantage provider. The intraday series is updated in real time every 5 minutes. Available are also daily, weekly and monthly time series.
  • Added an optional input parameter to the special Excel formulas dsHist and dsLiveGetSync called GoToUrl. It takes a boolean value. If set to true, each produced url will be also visited through the default browser. If omitted it is set to false. It enables the user to run diagnostics by examining the raw data as they produced by the feeds provider before they are intercepted, processed and relayed to the spreadsheet by Deriscope.
  • Released API for Visual Basic. This Programming Interface allows the user to interact with Deriscope through Visual Basic code.
  • Replaced Excel's native dialog appearing when a workbook is closing with a Deriscope-managed dialog. This protects Deriscope's stability under various scenarios of user actions, such as cancelling the closing operation or saving the workbook before closing.

Bug Fixes:

  • Resolved a problem relating to starting Deriscope from workbooks that have been opened in protected view, such as workbooks that were email attachments at the time of their opening. In particular, this affected only Excel 2013 as well as Excel 2016 64 bit. Notably Excel 2016 32 bit was not affected! In addition the problem appeared only when the user attempted to open a protected view workbook from within Excel and only if at least one other workbook was already open!
  • Fixed a bug that caused time series properties to be displayed in a non-constant order.
  • Resolved a problem relating to saving and reopening a workbook that has been repaired by Excel due to the existence of validation dropdowns with too many items.
  • Fixed an interference problem with external objects that happened to have the BackgroundQuery property set to true. These objects were refreshed as a side-effect of the tutorials with sometimes disastrous consequences.

Improvements:

Other:

04 Nov 2017 version 2.4.1

New Features:

Bug Fixes:

  • This version is a pure bug fix release that addresses a very serious issue confronting the Excel 64 bit users. The Excel 32 bit users who are already in possession of the previous 2.4.0 release, do need to download this version! The bug fixed in this release was the inability to enter the Settings area of Deriscope, which rendered the registration of the Alpha Vantage User key impossible, thus incapacitating the acquisition of live feeds from the Alpha Vantage provider!

Improvements:

Other:

02 Nov 2017 version 2.4.0

New Features:

  • Added support for historical data from the Yahoo Finance provider. Now the special dsHist Excel formula accepts also input objects of the new type HistRequestYF.
  • Added two additional menu items called Time Series and Time Series (Composite) under Tools -> Insert Function -> Live Feeds -> (Yahoo Finance) that demonstrate the new feature above.
  • Added an additional menu item called Refresh Yahoo Credentials under Tools that enables the user - when the link to the Yahoo Finance web service fails - to rebuild the security tokens that Deriscope uses internally in order to execute the web service call.
  • Added an additional permanent configuration setting called Yahoo Finance Auto Refresh Credentials under Tools -> Settings -> Internet that instructs Deriscope to automatically rebuild the Yahoo Finance security tokens mentioned above before each and every web service call.
  • Added an additional menu item called Copy Allowed Parameter Values under Tools that (re)creates all Deriscope validation dropdowns in those cells within the currently selected range, where such dropdowns are applicable and also copies the values associated with these dropdowns into the clipboard so that the user may paste them afterwards in the spreadsheet or anywhere else.
  • Removed the Force Recalc menu item under Tools and replaced it with a submenu consisting of 6 options that provide for fine-tuned forced recalculation of one of: Everything, active workbook, active worksheet, selected range, as well as targeted recalculation of only the error-containing cells found in either the active worksheet or the selected range. The latter is particularly useful when sparse errors have occurred, but a full Excel recalculation is not desired, due to either a) processing time considerations or b) the risk of replacing healthy formula outputs with newly introduced errors.

Bug Fixes:

  • Fixed a bug that was responsible for an alert display when the user quit Excel. This fix seems to also have a positive effect on the ability to open an Excel spreadsheet directly from the File Manager before having started Excel. The latter issue still persists though in Excel 2013.

Improvements:

  • Introduced a special storage procedure specifically for the Alpha Vantage User Key entered by the user so that it is permanently stored and is automatically available at a subsequent Excel session, even if the rest of the configuration settings are reset to their default values.

Other:

  • Changed the names of the types HistDataRequest, HistDataRequestAV, HistDataRequestComp to HistRequest, HistRequestAV, HistRequestComp respectively, in order to reduce their length and thus the width of the Excel columns containing these names. (Note this change breaks backward compatibility with regard to the spreadsheet formula "ds", when its input references one of these types!)

27 Oct 2017 version 2.3.1

New Features:

Bug Fixes:

  • Resolved problems relating to starting Deriscope from workbooks that have been opened in protected view, such as workbooks that were email attachments at the time of their opening.

Improvements:

  • Substantially stopped the very annoying taskpane flickering by removing an unnecessary highlighting feature. Now the taskpane reacts much faster and more smoothly as the user hovers the mouse over and out of its area.
  • Improved the TaskPane Reactivity High setting so that Excel's undo history is not deleted as the user select various cells.
  • Improved the TaskPane Reactivity High setting so that Excel does not hang for a few seconds as text-containing cells referenced by special formulas, such as dsHist or dsLive, get selected. These functions contain no key-value pairs so there is no reason for the taskpane to waste resources analyzing these functions.

Other:

23 Oct 2017 version 2.3.0

New Features:

  • Introduced integrated Excel tutorials, tips and warnings that appear automatically when and if a need arises.
  • Added multi-ticker and composite request support to the Alpha Vantage Historical data through the new HistDataRequest type. Also the dsHist Excel formula now takes only one argument that is expected to be a handle name of an object of type HistDataRequest. (Note this new feature breaks backward compatibility with regard to the spreadsheet formula "dsHist"!)
  • Added a new timeout property in the HistDataRequest type that takes precedence over the respective timeout definitions under Settings.

Bug Fixes:

  • Fixed a bug observed in the stand-alone Excel version 2016 (not the 365 one!), whereby the opening of a spreadsheet directly from the File Manager before Excel had started, led to taskpane corruption.
    Note that a similar attempt to open a workbook in 365 results to the taskpane being completely absent. Users of 365 are therefore advised to start Excel prior to opening workbooks from the file manager.

Improvements:

Other:

09 Oct 2017 version 2.2.1

New Features:

  • The ISDA pricing method has been added in the pricing of Credit Default Swaps
  • The Analytic Heston method has been added in the pricing of european options, which includes the Andersen Piterbarg engine for the representation of the complex logarithm.

Bug Fixes:

  • Any cell-bound validation dropdowns that are created by Deriscope with data exceeding 255 characters are now removed before a workbook is saved. This solves an existing bug, whereby the message "Excel found unreadable content" appeared when the user attempted to open a previously saved workbook that happened to contain such validation items.
  • Fixed date parsing bug, whereby a certain type of text (eg "193.2000") was wrongly interpreted as date (19.03.2000)
  • Fixed several bugs that led to task pane corruption during workbook saving in Excel 2016

Improvements:

  • Made dsHist - the function that retrieves historical time series from a live feeds provider, such as Yahoo Finance or Alpha Vantage - persistent, in the sense that it keeps trying - up to a certain number of repetitions - until the feeds are received. This resolves the frequent "timeout error" appearing after dsHist was executed for the first time.
  • Changed the default setting that controls Excel's calculation state when Deriscope starts, from Manual to Inherited. Under the new setting, the default behaviour will be so that Excel's calculation state will not change when a user presses the Start button in order to load Deriscope analytics into Excel. As before, that default behaviour can still be changed in the Settings.
  • Enhanced the diagnostic message "Object named xyz does not exist!" with a suggestion that the user ensures that the responsible formula has been calculated.

Other:

  • Integration with the latest QuantLib version 1.11
    The QuantLib version history is available here

24 Sep 2017 version 2.2.0

New Features:

  • Complete revamp of the the live feeds interface. The synchronous method is now accomplished through the new function dsLiveGetSync. The asynchronous method now requires a) a live feeds engine initiated through dsLiveStartEngine and b) the display of the latest acquired data through the function dsLiveGetAsync.

Bug Fixes:

  • Now getting live feeds does not erase Excel's undo history, provided that flashing has been switched off. Also several other user actions, such as selecting cells containing keys, does not necessarily interfere with either the clipboard or the undo history.

Improvements:

  • A warning is issued before an action is undertaken that is accompanied with a negative sideeffect, such as clipboard or undo history deletion.

Other:

31 Aug 2017 version 2.1.1

New Features:

Bug Fixes:

  • The grid data entry dialog appears now with the right size and position with respect to all grid cells and various windows text size settings
  • The "About" option in wizard now returns correct operation system information in the cases of Windows 8.1, Windows Server 2012 R2, Windows 10 and Windows Server 2016

Improvements:

Other:

  • Integration with the latest QuantLib version 1.10.1
    The QuantLib version history is available here

29 Aug 2017 version 2.1.0

New Features:

  • On Yield Curve construction:

    • Implementation of Dual Curve Bootstrapping through an additional exogenous Discounting Yield Curve input in the swap market data
    • Optional specification of the Forward Start and Pillar Choice in the market swap rates input
    • New mandatory Spread column in the table of market swap rates, where the floating leg spread for each swap is specified. (Note this new feature breaks backward compatibility with regard to function "Create" of type "Yield Curve"!)
    • New mandatory Pillar Date column in the table of market swap rates in case the Pillar Choice is set to Custom Date
    • Two more Yield Curve building market instrument choices: a) OIS rates and b) BMA Ibor fractions, both with exogenous Discounting Yield Curve input capability
  • On Real Time Data:

    • Addition of Alpha Vantage as a Real Time Data provider. The spreadsheet functions dsLive and dsQuote have been slightly modified so that they can request live data from either Yahoo Finance or Alpha Vantage.
      Note the big current advantage of Alpha Vantage in relation to Yahoo Finance is the delivery of prices with only up to one minute delay. It also supplies quotes, such as DJI, that are not made available by Yahoo (Note this new feature breaks backward compatibility with regard to the spreadsheet functions "dsLive" and "dsQuote"!)
    • Addition of Alpha Vantage as a Historical Data provider. The dsHist spreadsheet function has been slightly modified so that it can request historical data from either Yahoo Finance or Alpha Vantage. Whereas Yahoo Finance historical data service is currently completely broken, Alpha Vantage delivers time series of intraday and daily quotes as well as several statistical indicators that can go back to 20 years (Note this new feature breaks backward compatibility with regard to the spreadsheet function "dsHist"!)
    • Improvement of the information returned to the user by the spreadsheet function dsLive. Instead of long cell-bound sentences and flashing text appearing temporarily in the task pane, an object is now returned that contains all relevant information in a persistent fashion
  • Data Entry change (see below under Bug Fixes)

Bug Fixes:

  • A major user interface issue affecting Excel 2016 users has been addressed. With the previous version users of Excel 2016 were unable to enter data in the task pane using the keyboard. That was due to Excel 2016 resisting to release the focus away from the spreadsheet, which resulted in keyboard-generated user input flowing to the wrong destination.
    The solution required a dramatic change of user input interface towards a new data entry screen, at least in those cases where keyboard is required. This new interface actually is more stable and leads to fewer surprises than the older one.
    As a useful byproduct, users now have the additional option to select a custom date from a calendar pop-up window, while they edit the date inside a grid cell.
  • The mouse right-click context menu choice “Copy selected cells preserving grid structure” has been fixed to work as intended, namely to transfer the selected grid cells to the spreadsheet respecting their original geometric location on the grid

Improvements:

  • Reduction of the noticeable flickering of various task pane elements during user interaction

Other:

18 Aug 2017 version 2.0.0

Initial Deriscope release