Hi Max,
> Hi,
>
> I am new to QuantLib and QuantLibXL, and trying to explore them. Hope I can
> contribute to the project in future.
Welcome, your contribution would be much appreciated.
> Right now, I want to use Monte Carlo European engine to price European
vanilla option using QuantLibXL add-in in MS Excel. However I cannot
find
> any Monte Carlo engine in QuantLibXL (version 0.8.0), though it is
available
> in QuantLib C++ library (e.g. MakeMCEuropeanEngine).
>
> So if I want to add those missing pricing engine (say Monte Carlo) to
QuantLibXL, how should I proceed to modify the QuantLibXL source code?
Any
> guidelines or suggestion?
I'm in the process of writing a tutorial explaining how to expose new
QuantLib functionality to QuantLibXL. The first draft will be ready the
week of 8 Oct, I'll post the link to quantlib-users.
An old document on that topic is at
http://quantlib.org/quantlibaddin/extending.html, many of the details are
out of date but the basic idea remains unchanged and it might be enough to
get you started.
Regards,
Eric
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