QuantLib Excel Addin
The QuantLib add-in for Excel allows the use of a large selection of QuantLib functionality from Microsoft’s Excel program (on MS Windows platform only). We provide a range of consulting services related to QuantLib add-ins including:
Updated builds or builds with custom functionality
Per-issue support
Consulting on applying the Addin functionality to valuation and risk-analysis of a wide range of fiancial instruments.
Please contact us at webs@bnikolic.co.uk for more information.
We also provide services for alternate use of QuantLib:
Deploying QuantLib analytics through tightly integrated Python-based cloud-based notebooks and web-apps: see our Quant Panel pages.
Deploying QuantLib and Python analytics in Excel through xlwings binding
Deploying QuantLib through a REST interface, see dedicated web-site here: https://www.quantfns.com/quantnfs-ois-price-appsmith
Example Spreadsheets
Example spreadsheets are distributed with the addin (see: https://www.quantlib.org/quantlibxl/), or you can download the examples from our OneDrive
Pointers to some of the examples, together with online viewing links (to re-run the calculation you will need to download the add-in and the example!):
Pricing and analysis of various interest rate derivatives, including caps/floors, swaptions and CMS. InterestRateDerivatives
Pricing of Swaptions including calibration of model parameters from market quotes BermudanSwaption
Building a rates curve from bond prices BondCurve
Simple European Option pricing Option
Analysis of option pricing with different payoff types Payoffs
Interpolation of yield curve YieldTermStructures
Calculation of IMM dates and codes IMM
Calculation of arbitrary Swaps and Bond schedules including start dates in the past ScheduleGenerator
If you have questions please contact us at webs@bnikolic.co.uk
BN Algorithms Builds of the Excel Addin
You can obtain the stock Excel addin from https://www.quantlib.org/quantlibxl/
As we frequently build the addin, we also provide our own builds. The following software is licensed to viewers of this page under the QuantLib license (https://quantlib.org/license.shtml). Please note there is no warranty of any kind for this software. The licensor is BN Algorithms Ltd, UK.
| QuantLib Ver | Addin Ver | Architecture | Download Link |
|---|---|---|---|
| V1.23 | V1.23 | MS Win/64bit Office | download |
| V1.22 | V1.22 | MS Win/32bit Office | download |
| V1.22 | V1.22 | MS Win/64bit Office | download |
If you encounter problems with these builds please contact us at webs@bnikolic.co.uk.
Support available from BN Algorithms Ltd
We are able to offer support for the QuantLib Excel addin:
Custom builds
New or updated functionality
Per issue support (fixed price for larger issues)
Please contact us webs@bnikolic.co.uk for more information.
Add-in documentation
Some of our documentation for the QuantLib Addin is available at https://www.bnikolic.co.uk/ql/addindoc/
The following additional documentation is automatically generated, comes without any warranty of any kind, and is currently at an experimental stage:
Upstream code
The current upstream master from which we work is: https://github.com/eehlers/QuantLibAddin-Old
Copyright and published by: BN Algorihtms Ltd 2024. For general information only. Not to be relied for any purpose. Not advice about investment. No warranty of any kind. No liability for any use of this information accepted. Contact: webs@bnikolic.co.uk