Cloud computing with Python and Excel : picloud integration

March 12, 2010

Further to my previous post about making Python GUI interact with Excel, we thought it would be interesting to test how cloud computing could be easily accessible from Excel using Python and the picloud library.

We have just added interfaced some Python code that do compute the put and call price of a stock based on a Black & Scholes Monte-Carlo simulation. We end up with one function call in Excel :

Pyxll integration with picloud

Implementation details
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Interactive Python graphics/visualisation with Excel

March 12, 2010

Making Excel users benefit of the quick and powerful Python GUI tools was an idea that looked pretty interesting.

The two main arguments for that are :

  1. Python code is easily maintainable, tested and integrated compared to what can be inside of an Excel sheet
  2. Python has some powerful libraries for numerical computing, 2D/3D visualisation, etc.

For the last London Financial PUG meeting (March 11), Travis and I had the idea of making Chaco playing with Excel thanks to a cool tool named pyxll and the pywin32 extension. The example allows the user to select a range of columns in Excel, send them to a Chaco regression tool where the user can select points. A Chaco tool does lively compute a regression on those points and update the Excel sheets.

The result is pretty interesting as shown on the screenshot here below. (I will most probably post a video showing how interactive it is).

Pyxll Chaco interactive session

Pyxll is a very interesting library allowing you to very easily make your Python function available within Excel (either as menu or functions). Thanks a lot to Tony Roberts for his excellent pieces of advice on using pyxll for the demo.

Chaco Python plotting application toolkit that facilitates writing plotting applications at all levels of complexity, from simple scripts with hard-coded data to large plotting programs with complex data interrelationships and a multitude of interactive tools. Chaco is part of the Enthought Tool Suite and available under the BDS license

Implementation details
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Improving Python speed using Cython : Binomial option valuation example

February 12, 2010

For the last LFPUG meeting, I have developed a simple example showing how Cython could be used to improve the performance of Python. The idea here is not to find the best way to do it but just to try to get a great speed up without digging into the hard stuff.

1. The model

The theoretical binomial model can be used to value options. “Paul Wilmott’s introduces Quantitative Finance” shows a VB example of a call valuation with such model. The following code is inspired by the VB code and gives you a pure Python version of it.
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London Financial Python User Group meets on February 3

January 20, 2010

The 3rd meeting of the LFPUG is to be held on February 3 at 7PM.

Topics :

  • Improving NumPy performance with the Intel MKL – Didrik Pinte
  • Python to Excel bridges :
    • “PyXLL, a user friendly Python-Excel bridge” – Tony Roberts
    • Discussion on connecting Python and Excel (xlrd/xlwt, pyinex, win32com, pyxll, …)
  • Speeding up Python code using Cython – Didrik Pinte

Location: The event will be hosted by KBC Financial Products that kindly proposed a meeting room for us. For security concerns, please do RSVP at to be confirmed on the attendee list. Address of the day : 111 Old Broad Street, EC2N 1FP (just opposite Tower 42)

The details are available  on the wiki page.

NumPy performance improvement with the MKL

January 15, 2010

After the relase of EPD 6.0 now linking numpy agains the Intel MKL library (10.2), I wanted to have some insight about the performance impact of the MKL usage.

What impact does the MKL have on numpy performance ?

I have very roughly started a basic benchmark comparing EPD 5.1 with EPD 6.0. The former is using numpy 1.3 with BLAS and the latter numpy 1.4 with the MKL. I am using a Thinkpad T60 with an Intel dual-core 2Ghz CPU running Windows 32bit.

! The benchmarking methodology is really poor and can be made much more realistic but it gives a first insight.

Contrary to what I said at the last LFPUG meeting on Wednesday, you can control the maximal number of threads used by the system using the OMP_NUM_THREADS environment variables. I have updated the benchmark script to show its value when running it.

Here are some results :

  1. Testing linear algebra functions

I took some of the often used methods and barely compared the cpu time using the ipython timeit command.

Example 1 : eigenvalues

def test_eigenvalue():
 i= 500
 data = random((i,i))
 result = numpy.linalg.eig(data)

The results are interesting 752ms for the MKL version versus 3376 for the ATLAS. That is a 4.5x faster.  Testing the very same code on Matlab 7.4 (R2007a) gives a timing of 790ms.

Example 2 :  single value decompositions

def test_svd():
 i = 1000
 data = random((i,i))
 result = numpy.linalg.svd(data)
 result = numpy.linalg.svd(data, full_matrices=False)

Results are 4608ms  with the MKL versus 15990ms without. This is nearly 3.5x faster.

Example 3 : matrix inversion

def test_inv():
 i = 1000
 data = random((i,i))
 result = numpy.linalg.inv(data)

Results are 418ms with the MKL versus 1457ms without.  This is 3.5x faster

Example 4 :  det()

def test_det():
 data = random((i,i))
 result = numpy.linalg.det(data)

Results are 186ms with the MKL versus 400ms without. This is 2x faster.

Example 5 :  dot()

def test_dot():
 i = 1000
 a = random((i, i))
 b = numpy.linalg.inv(a)
 result =, b) - numpy.eye(i)

Results are 666ms with the MKL versus 2444ms without. This is 3.5x faster.

Conclusion :

Linear algebra functions show a clear performance improvement.  I am open to collect more information on that if you have some home made benchmarking. If the amount of information, we should consider publishing the results as official benchmark somewhere.

Function Without MKL With MKL Speed up
test_eigenvalue 3376ms 752ms 4.5x
test_svd 15990ms 4608ms 3.5x
test_inv 1457ms 418ms 3.5x
test_det 400ms 186ms 2x
test_dot 2444ms 666ms 3.5x

For those of you wanting to test your environment, feel free to use the script here below.
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Reading SRTM hgt files using numpy

January 15, 2010

Reading some things about the SRTM datasets, I thought at using numpy to open and parse them efficiently.

The hgt data format is well defined here

Files can read directly from numpy like this :

import numpy
# reading an <span style="font-family:Arial;">International 3-arc-second file</span>
srtm_dtype = numpy.dtype([('data', numpy.uint16, 1201)])
image = numpy.fromfile('N00E072.hgt', dtype=srtm_dtype)

If the file were bigger, you could also use memmaps to allow the loading of huge files without sufficient memory :

image = numpy.memmap('N00E072.hgt', dtype=numpy.uint16, mode="r+", shape=(1201,1201))

And here it is … you can easily adapt that to United States 1-arc-second files by updating the shape of the dtype.

using gdal/ogr with epd

August 12, 2009

I had to add the gdal and ogr libraries to a fresh EPD 4.3.0 Windows install. Here is how i’ve done and what were the problems encountered :

  1. Install the python module : easy_install gdal
  2. Add the dll libraries : Download and uncompress to c:\gdalwin32-1.6 from
  3. Update your path

This is were you had to manually do some updates. I haven’t exactly found the culprit but there is a problem with the OpenSSL dynamic libraries (libeay32.dll and ssleay32.dll). There is one version in c:\Windows\System32, one in c:\Python25 and one in c:\gdalwin32-1.6\bin directory.

If you do not update the path, you get the following error when loading ogr :

The ordinal 3873 could not be located in the dynamic library LIBEAY32.DLL

and the library cannot be loaded.

Just put your c:\gdalwin32-1.6\bin\ directory on the first place in your path :


Hope this will help.