QuantLib in Excel through xlOil and Python

The recommended approach to using QuantLib from Microsoft Excel is through xlOil (xlOil source) which is connected to a Python interpreter running the offical QuantLib Python wrappers. The advantage of this approach:

1. Uses QuantLib Python wrappers which is the best maintained, most used and most tested wrapping of QuantLib
2. Decouples the Excel Addin mechanisms from QuantLib, improving maintainability
3. Retaines the ability to build and use opaque C++ objects as in the traditional addin
4. Allows integration with the full Python ecosystem, Pandas, etc., as well as for custom modules
5. Maximises reusability between the Excel system which typically used on ad-hoc basis and middle-office/back-office functions

Example port of the Global Bootstrap example

Here is an example of porting global bootstrap example to xlOil. :

Global Curve Bootstrap

Global Curve Bootstrap

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