Overview

QuantLibAddin exports the functionality of the QuantLib C++ analytics library to a variety of end-user platforms including Microsoft Excel and LibreOffice Calc.

The Excel implementation of QuantLibAddin is packaged for end users as the QuantLibXL project which provides

An installer for the addin
Business documentation
Example workbooks

The scope of the QuantLibAddin project includes

Implementations for platforms other than Excel
Downloads and tutorials for compiling QuantLibAddin/QuantLibXL from source code

Components

The QuantLibAddin application comprises

QuantLibObjects, a library which wraps QuantLib classes in a format which allows them to be stored in ObjectHandler
An interface configured in XML from which gensrc generates source code for Addins on supported platforms

Features

Features of QuantLibAddin include

Object Orientation - QuantLib objects may be constructed, interrogated, updated, passed as arguments to other functions, and destructed.
Polymorphism - For example, function qlNPV() returns the NPV of an Instrument and may be invoked on an instance of any derived class such as Swap or Bond.
Portability - The same interface is implemented in platform neutral C++ and is available on all supported environments.
Serialization - A pricing environment may be created in Excel workbooks and transmitted to a Linux process for calculation.
Coercion - The value which the user inputs to a function may be one of a number of datatypes and any necessary conversion is performed automatically.
Enumerations - Minor or transient types are represented by a registry of string/value pairs, for example "PUT" indicates QuantLib::Option::Put.

QuantLib

QuantLibAddin is a subproject of QuantLib and shares the QuantLib project structure with regard to distribution and licensing. The mailing list for QuantLibAddin is quantlib-users@lists.sf.net. The list archives may be searched here.