Re: Quantlib-users digest, Vol 1 #521 - 5 msgs

[Theo Boafo]

I am trying to work out how quantlibxl works.

I have opened one of the workbooks Blackscholes.xls.

I noticed that cell B9 has value qlEuropeanOption(A9,$B$1,$B$2,$B$3,$B$4,$B$5,$B$6,$B$7,1) where its passing all these cells parameter values.

How does the spreadsheet know how to call qlEuropeanOption?

I suppose there is a link to c++ dll somewhere.


Regards

Theo

[Ferdinando M. Ametrano-3]

Hi Theo,


>I am trying to work out how quantlibxl works. I have opened one of the
>workbooks Blackscholes.xls. I noticed that cell B9 has value
>qlEuropeanOption(A9,$B$1,$B$2,$B$3,$B$4,$B$5,$B$6,$B$7,1) where its
>passing all these cells parameter values.
>How does the spreadsheet know how to call qlEuropeanOption?
>I suppose there is a link to c++ dll somewhere.

have you installed the QuantLib addin QuantLibXL-vc71-mt-s-0_3_7.xll ?
In Excel select Tools | Addins then browse to locate
QuantLibXL\xll\QuantLibXL-vc71-mt-s-0_3_7.xll on your hard disk.
Selecting the xll file you will be have it installed in Excel.

Now Excel should be able to call the function qlEuropeanOption which is
provided in the QuantLibXL addin.

hope it helps

ciao -- Nando

[erik-44]

Hi Theo

On Thu, 2004-07-29 at 11:30, [hidden email] wrote:

> How does the spreadsheet know how to call qlEuropeanOption?

Check the source code for QuantLibXL.  In file xlAutoOpen.cpp, worksheet
formula qlEuropeanOption is linked to C++ function xlEuropeanOption.
File engines.cpp defines function xlEuropeanOption which constructs the
underlying QuantLib objects (BlackScholesProcess, VanillaOption, etc.)
and returns their details to the spreadsheet.

> I suppose there is a link to c++ dll somewhere.

QuantLibXL *IS* the C++ DLL.  An XLL is a special case of a DLL, with
some extra functions defined that Excel expects to find.

> Regards
>
> Theo

Not sure if I've told you what you wanted to know, give us a shout back
if you need more info.

Regards
Eric

[erik-44]

On Mon, 2004-08-02 at 13:33, [hidden email] wrote:
> Very informative.  This has saved me a lot of reading time.

Happy to help.

> One question though, I was reading the last couple of chapters of
> Duffy's new book on Financial Instrument Pricing using C++, which would suggest that xll development would cease at some point and rather the link between excel and c++ would be via ATL COM ADDINS.  Therefore is XLL development still strong in the industry or is it going to be cease at some point?

Last time I researched this the Excel C API (XLLs) performed
dramatically faster than COM and I imagine that explains the design of
QuantLibXL.  I haven't looked into this recently and it may be that
recent developments in the .NET world have finally produced a faster
alternative to the C API, in which case an argument could be made for
re-implementing QuantLibXL using newer technology.

Regards
Eric

[Theo Boafo]

I trying to improve on my OO for c++ so I use Microsoft visual c++ 6.0.

I have seen a lot of references to .NET and C#.  What are these?

Also can someone explain how .xla files are created and thelink with VBA/EXCEL.

Regards

Theo

[Lisa and Dave]

Hi Eric,

Microsoft's current approach to .NET development in Excel is either Visual
Studio Office Tools (VSTO) or Managed COM. Both of these use Excel interops
which expose the Excel COM object model to your preferred .NET language.
VSTO is intended to add custom code to a single workbook, you cannot create
worksheet functions directly. Managed COM is for creating add-ins,
apparently you can create worksheet functions but I've not found the way
yet. In either case for raw performance xll's are probably here for a while.


Dave

-----Original Message-----
From: [hidden email]
[mailto:[hidden email]] On Behalf Of erik
Sent: Tuesday, 3 August 2004 3:52 AM
To: [hidden email]
Cc: [hidden email]
Subject: Re: [Quantlib-users] Re: Quantlib-users digest, Vol 1 #521 - 5 msgs

On Mon, 2004-08-02 at 13:33, [hidden email] wrote:
> Very informative.  This has saved me a lot of reading time.

Happy to help.

> One question though, I was reading the last couple of chapters of
> Duffy's new book on Financial Instrument Pricing using C++, which would
suggest that xll development would cease at some point and rather the link
between excel and c++ would be via ATL COM ADDINS.  Therefore is XLL
development still strong in the industry or is it going to be cease at some
point?

Last time I researched this the Excel C API (XLLs) performed
dramatically faster than COM and I imagine that explains the design of
QuantLibXL.  I haven't looked into this recently and it may be that
recent developments in the .NET world have finally produced a faster
alternative to the C API, in which case an argument could be made for
re-implementing QuantLibXL using newer technology.

Regards
Eric



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