This reminds me that compiling QuantLib is such a pain in the ass. I love QuantLib though - I use it via C# and there is an Excel plugin already available in the source code.
As regards your example:
(a) single-name options usually have an American exercise-type.
(b) the main difficulty (and the thing one would actually pay for) is getting and maintaining a vol-surface for pricing these things - using flat vol to price this is quite inaccurate and risky.
I've played around with QuantLib's Excel plugin, and I don't find it easy to use - the hybrid system they set up to merge Excel with the C++ structure of QuantLib is unintuitive. I've had better luck just pulling the functions into Python and going from there.
I agree. It's quite messy. That's why I use the C# swig bindings instead and if I had to use Excel as a UI, I'd build my own plugins in C# rather than use the ones they provide - in a similar fashion as you've done with Python.
Well, it requires an unmanaged dll (NQuantLibc) to be compiled which would be pinvoked by the managed bindings dll (NQuantLib). The unmanaged dll will not be platform independent (I don't know if you'd be using x86/x64). It also needs to be copied over to the same directory in which your output binaries would reside.
Perhaps someone can help me with a related capability. I am looking for a tool to administer and query the price of structured products (options, securities, indices, etc)
On the administration side: Manage which clients, have been sold which products, value of the product (notional/sold value) and maturity date.
On the valuation side: link to treasury and banking systems, and various price feeds to determine current value of structured product.
Is there anything off-the shelf that any of you are aware off?
Thanks for the referral.
I'll have a look at the website.
Our business does sell and manage some complex products - most of it is managed out of Excel.
I was told to treat this as a low priority (I have a list of solutions I need to get them), so I'm not sure what their budget is. However, if I believe their is a business case for them to adopt a new solution, the door is open for me to make a recommendation
"What seems to be standard practice is to use quantlib as a module which is used as part of an in-house module. Usually to make third party software work with internal systems takes a lot of masking tape and sledge hammers."
- twofish, on the Wilmott forum, 2005
I worked for a long time in Finance & Market Data - in Europe (UK/CH mostly). Most people would be surprised how much of it runs of Excel.
Particularly Fixed Income - a lot of the sophisticated instruments will be priced straight off Excel spreadsheets (so you use Excel to publish data, not just analyse it).
In fact, most people outside finance would be surprised at how much sophisticated analysis and interactivity you can build in Excel. Once you start digging under the hood it's a powerful platform. The only addition you need is a pricing feed e.g. Bloomberg.
As regards your example:
(a) single-name options usually have an American exercise-type.
(b) the main difficulty (and the thing one would actually pay for) is getting and maintaining a vol-surface for pricing these things - using flat vol to price this is quite inaccurate and risky.