FCell: Numerical Development in Excel w/ F# Are your Excel Add-Ins difficult to develop, test and deploy? Frustrated with C++, VSTO or VBA based solutions? Or maybe you would simply love to run interactive F# scripts within Excel? Come and learn about FCell Add-In, an integrated F# development platform embedded in Excel. Using Fmat, an open source F# math library, we will implement simple numerical models in Excel. You will learn how to create Excel User Defined Functions in F# and how to access spreadsheet data in your F# scripts via Excel Type Provider for Named Ranges. Only Excel 2007 or later required.

1. Numerical Development
with F# and Excel
Adam Mlocek
Tomas Petricek

2.  Download and unzip:
http://statfactory.co.uk/Tutorial.zip
 Use VS2012 or install Tsunami F# IDE:
www.tsunami.io
 Install FCell 2.0 beta (optional):
http://statfactory.co.uk/FCell20_32bitExcel.msi
http://statfactory.co.uk/FCell20_64bitExcel.msi
Setup

3.  FCell.XlProvider: Type Provider for Excel named
ranges
 Fmat: F# matrix library
 FCell.Series: F# recursive series framework
The Toolbox

4.  Open Tutorial.xlsm and Intro.fsx
 Generate random normal : normRnd
 Use (!!) operator for casting
 Transpose matrix
 Concatenate matrices vertically
 Slice matrix
 Calculate cov, mean and quantiles
 Calculate inverse normal cdf
Warm up

5.  Calculate Fibonacci: f(n) = f(n-1)+f(n-2)
 Calculate cumsum of 0,1,2…
 Simulate Wiener process:
W(t+dt) = W(t) + dt * Z, Z~N(0,1)
 Simulate Geometric Brownian Motion process
S(t+dt) = S(t)+S(t)*μ*dt+S(t)*σ*dt*Z, Z~N(0,1)
Exercise 1: Series

6.  Portfolio with 3 stocks: AAPL, MSFT and GOOG
 Value V, allocated with weights w
 ~500 daily historical prices
 Calculate daily Log losses: L
 Historical VaR(α=95%)=quantile(V*w*L.T)
 Assume L~N(mean, cov)
 Calculate normal VaR analytically
Exercise 2: Portfolio VaR

7.  Create custom menu with button to run the VaR
model
 Embed F# model and FCell runtime in
workbook
FCell Demo