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Getting started, some VB(A) examples?

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Maury Markowitz

Getting started, some VB(A) examples?

This post was updated on .

Hi! I'm just getting started with exploring QuantLib as a potential replacement for TrueCalc and a series of one-off VBA calculators for simpler things (like US options). Our primary need is easy access from VBA, and a much more secondary need is in-cell formulas in Excel (mostly for ad-hoc testing).

Our existing TC wrapper code is relatively simple. I collect up VA variant safearrays for the yield curve(s), puts and (soft)calls, dividends and coupons, and various bond features (make-whole, etc). Then I call TC and out pops another safearray containing the greeks. My goal is to make a drop-in replacement for this system, one that we can then use to roll out to replace our home-grown models with new ones based on other parts of QL.

So I'm assuming for the "first part" of the task I should be focussing on the QL VBA Plugin. Perhaps I'm not looking in the right places, but so far I can't seem to find any sample code based on this lib -- lots of stuff on the Excel plugin and even an example of VBA calling Application.Run(xxx) to call the QL spreadsheet functions (THAT'LL make your eyes bleed!), but nothing from straight VB/VBA.

Can someone point me to some examples of using QL from VBA for a ConvertBond calculation? I think with even one moderately feature-full example I could likely code up a replacement for TC. That would probably be all the introduction I'd need to get bootstrapped.

Maury

Eric Ehlers-2

Re: Getting started, some VB(A) examples?

Hi Maury,

> Hi! I'm just getting started with exploring QuantLib as a potential
> replacement for TrueCalc and a series of one-off VBA calculators for
> simpler
> things (like US options). Our primary need is easy access from VBA, and a
> much more secondary need is in-cell formulas in Excel (mostly for ad-hoc
> testing).
>
> Our existing TC wrapper code is relatively simple. I collect up VA variant
> safearrays for the yield curve(s), puts and (soft)calls, dividends and
> coupons, and various bond features (make-whole, etc). Then I call TC and
> out
> pops another safearray containing the greeks. My goal is to make a drop-in
> replacement for this system, one that we can then use to roll out to
> replace
> our home-grown models with new ones based on other parts of QL.
>
> So I'm assuming for the "first part" of the task I should be focussing on
> the QL VBA Plugin. Perhaps I'm not looking in the right places, but so far
> I
> can't seem to find any sample code based on this lib -- lots of stuff on
> the
> Excel plugin and even an example of VBA calling Application.Run(xxx) to
> call
> the QL spreadsheet functions (THAT'LL make your eyes bleed!), but nothing
> from straight VB/VBA.

"The QL VBA Plugin" - To my knowledge, no such thing exists. Given
existing tools, the only way to invoke QuantLib functionality from Excel
VBA is to call QuantLibXL functions via Application.Run().

Regards,
Eric

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