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