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 custom builds and per issue support. Please contact us at <webs@bnikolic.co.uk> for more information.
As an alternative to the Excel Addin, we also provide consulting on deploying QuantLib analytics through tightly integrated cloud-based notebooks and web-apps: see our Quant Panel pages.
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 (http://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 Version | Architecture Download | link |
|---|---|---|---|
| V1.16 | V1.14+ | MS Win/32bit Office | download |
| V1.15 | V1.14 | MS Win/32bit Office | download |
| V1.11 | V1.08 | MS Win/32bit 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 http://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:
Source code, development and contributions
The current upstream master from which we work is: https://github.com/eehlers/QuantLibAddin-Old