Excel is likely the most widespread instrument across all not-only-quants desks; in addition, we have to keep in mind that Bloomberg and Reuters allow to easily import real time data in Excel, and this is very handy.

Due to these features, I'm wondering what's the easiest and most reliable solution to use QuantLib in Excel.

So far, these are the ways I know:

Each one has its pros and con's, I must admit QuantLibXL is harder than I thought before; being quite able to code with R, so far my favorite solution is the second one.

If anyone knows any better solution and/or a good step-by-step tutorial for QuantLibXL (something which explains how to deal easily with "classes" in a spreadsheet), it would be really appreciated if he could write it here.

  • $\begingroup$ From an abstract point of view, there is no definite answer to the question: the solution you should choose depends on your knowledge of the different programming languages and on other details of your personal situation. $\endgroup$
    – SRKX
    Aug 29 '13 at 8:04

A free to use Excel wizard-based Add-In providing QuantLib-backed derivatives pricing analytics directly in Excel is available at https://www.deriscope.com Since August 18, 2017 Deriscope has moved from beta to production.

Disclosure: answerer is author of the package.

Update as of 24 Oct 17: Deriscope already covers the whole QuantLib

  • 1
    $\begingroup$ Hi Yannis, welcome to quant.SE! Please disclose your involvement with deriscope.com and please provide some relevant information on why this add-on is a good choice. $\endgroup$
    – Bob Jansen
    Jul 29 '14 at 15:23
  • 1
    $\begingroup$ Hi Bob. I have been developing Deriscope actually for my own needs, but I feel it may be of interest to others as well. $\endgroup$
    – Yannis
    Jul 30 '14 at 3:46
  • $\begingroup$ It's an Excel add-in that aims to bring QuantLib closer to non-programmers. At its current version it only handles options (equity, index, fx), but it caters the full range of 34 modelling approaches available in QuantLib. Its main strength is algorithmic transparency and context-based help unseen in any other application. Its main drawback is it is still at its infancy in the sense it only covers options. I hope I will be able to supply the whole QuantLib capabilities soon. $\endgroup$
    – Yannis
    Jul 30 '14 at 3:56

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