Excel is the industry standard for financial modelling, providing a number of ways for users to extend the functionality of their own add ins, including VB and C/C++. This is a 'how to' guide and reference book for the creation of high performance add ins for Excel in C and C++ for users in the finance industry.
Excel Add-In Development in C/C++: Applications in Finance by Steve Dalton
Excel is the industry standard for financial modelling, providing a number of ways for users to extend the functionality of their own add ins, including VB and C/C++. "Excel Add in Development in C/C++: Applications for Finance" is a how to guide and reference book for the creation of high performance add ins for Excel in C and C++ for users in the finance industry. Author Steve Dalton explains how to apply Excel add ins to financial applications with many examples given throughout the book. It covers the relative strengths and weaknesses of developing add ins for Excel in VB versus C/C++. "This book is for anyone who wants to do any application development in Excel. Even for an old hand at Excel development such as myself, a brief skim through reveals valuable nuggets of information. Delving deeper into the text, richer veins are easily found. This book is destined to become an essential reference on Excel development." - Dr. Les Clewlow, Principal, Lacima Group Ltd. "Programming Excel add ins using the C API can be complex and difficult. Steve has done a masterful job of demystifying the process. After reading this book you ll be creating XLLs for all purposes with complete confidence. Highly recommended." - Rob Bovey, MCSE, MCSD, Excel MVP, President, Application Professionals.
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STEVE DALTON is currently head of Exotic Options at Collins Stewart Tullett plc in London. Steve has almost 20 years of experience working in the fields of interest rate derivatives and IT. With a background in mathematics and computing, he pioneered the use of real time spreadsheets in the mid 1980s for arbitrage and derivatives pricing. He founded Eigensys Ltd in the late 1980s, which specialises in software and consultancy in this field and in the use of Excel for demanding real time applications.
Table of Contents
Preface. Acknowledgements. 1 Introduction. 1.1 Typographical and code conventions used in this book. 1.2 What tools and resources are required to write add ins. 1.3 To which versions of Excel does this book apply? 1.4 About add ins. 1.5 Why is this book needed? 1.6 How this book is organized. 1.7 Scope and limitations. 2 Excel Functionality. 2.1 Overview of Excel data organization. 2.2 A1 versus R1C1 cell references. 2.3 Cell contents. 2.4 Worksheet data types and limits. 2.5 Excel input parser. 2.6 Data type conversion. 2.7 Excel terminology: Active and current. 2.8 Commands versus functions in Excel. 2.9 Types of worksheet function. 2.10 Complex functions and commands. 2.11 Excel recalculation logic. 2.12 The Add in Manager. 2.13 Loading and unloading add ins. 2.14 Paste Function dialog. 2.15 Good spreadsheet design and practice. 2.16 Some problems with very large spreadsheets. 2.17 Conclusion. 3 UsingVBA. 3.1 Opening the VB Editor. 3.2 Using VBA to create new commands. 3.3 Assigning VB command macros to control objects in a worksheet. 3.4 Using VBA to trap Excel events. 3.5 Using VBA to create new functions. 3.6 Using VBA as an interface to external DLL add ins. 3.7 Excel ranges, VB arrays, SafeArrays, array Variants. 3.8 Commands versus functions in VBA. 3.9 Creating VB add ins (XLA files). 3.10 VB versus C/C++: Some basic questions. 4 Creating a 32 bit Windows (Win32) DLL Using Visual C++ 6.0 or Visual Studio .NET. 4.1 Windows library basics. 4.2 DLL basics. 4.3 DLL memory and multiple DLL instances. 4.4 Multi threading. 4.5 Compiled function names. 4.6 Function calling conventions: cdecl, stdcall, fastcall. 4.7 Exporting DLL function names. 4.8 What you need to start developing add ins in C/C++. 4.9 Creating a DLL using Visual C++ 6.0. 4.10 Creating a DLL using Visual C++ .NET 2003. 4.11 Accessing DLL functions from VB. 4.12 Accessing DLL functions from Excel. 5 Turning DLLs into XLLs: The Add in Manager Interface. 5.1 Adding the Excel library and header files to a DLL project. 5.2 What does the Add in Manager do? 5.3 Creating an XLL: The xlAuto interface functions. 5.4 When and in what order does Excel call the XLL interface functions? 5.5 XLL functions called by the Add in Manager and Excel. 6 Passing Data between Excel and the DLL. 6.1 Handling Excel's internal data structures: C or C++? 6.2 How Excel exchanges worksheet data with DLL add in functions. 6.3 Defining constant xlopers. 6.4 A C++ class wrapper for the xloper cpp xloper. 6.5 Converting between xlopers and C/C++ data types. 6.6 Converting between xloper types. 6.7 Converting between xlopers and Variants. 6.8 Detailed discussion of xloper types. 6.9 Initialising xlopers. 6.10 Missing arguments. 7 Memory Management. 7.1 Excel stack space limitations. 7.2 Static add in memory and multiple Excel instances. 7.3 Getting Excel to free memory allocated by Excel. 7.4 Getting Excel to call back the DLL to free DLL allocated memory. 7.5 Returning data by modifying arguments in place. 8 Accessing Excel Functionality Using the C API. 8.1 The Excel 4 macro language (XLM). 8.2 The Excel4() C API function. 8.3 The Excel4v() C API function. 8.4 What C API functions can the DLL call and when? 8.5 Registering and un registering DLL (XLL) functions. 8.6 Registering and un registering DLL (XLL) commands. 8.7 Functions defined for the C API only. 8.8 Working with binary names. 8.9 Workspace information commands and functions. 8.10 Working with Excel names. 8.11 Working with Excel menus. 8.12 Working with toolbars. 8.13 Working with custom dialog boxes. 8.14 Trapping events. 8.15 Miscellaneous commands and functions. 8.16 The XLCallVer() C API function. 9 Miscellaneous Topics. 9.1 Timing function execution in VB and C/C++. 9.2 Relative performance of VB, C/C++: Tests and results. 9.3 Relative performance of C API versus VBA calling from a worksheet cell. 9.4 Detecting when a worksheet function is called from the Paste Function dialog (Function Wizard). 9.5 Accessing Excel functionality using COM/OLE Automation using C++. 9.6 Maintaining large data structures within the DLL. 9.7 A C++ Excel name class example, xlName. 9.8 Keeping track of the calling cell of a DLL function. 9.9 Multi tasking, multi threading and asynchronous calls in DLLs. 9.10 A background task management class and strategy. 9.11 How to crash Excel. 10 Example Add ins and Financial Applications. 10.1 String functions. 10.2 Statistical functions. 10.3 Matrix functions eigenvalues and eigenvectors. 10.4 Interpolation functions: lines, curves and splines. 10.5 Lookup and search functions. 10.6 Financial markets date functions. 10.7 Building and reading discount curves. 10.8 Building trees and lattices. 10.9 Quasi random number sequences. 10.10 Generating correlated random samples. 10.11 Monte Carlo simulation. 10.12 Calibration. References. Web Links and Other Resources. Index.
Excel Add-In Development in C/C++: Applications in Finance by Steve Dalton
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John Wiley and Sons Ltd
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