With my library pyexcel
,
$ pip install pyexcel pyexcel-xlsx
you can do it in one command line:
from pyexcel.cookbook import merge_all_to_a_book
# import pyexcel.ext.xlsx # no longer required if you use pyexcel >= 0.2.2
import glob
merge_all_to_a_book(glob.glob("your_csv_directory/*.csv"), "output.xlsx")
Each csv will have its own sheet and the name will be their file name.