Financial Instrument Pricing Using C++, 2nd Edition

CHAPTER 14Data Visualisation in Excel

14.1 Introduction and Objectives

At some stage in software development we need to have tools to determine the accuracy of numerical methods. These tools help us visualise data and results in some way. To this end, we have chosen to use a software library that the author developed to display array and matrix data in an Excel sheet. Our goal is to present data in Excel rather than using Excel as an input device (although this is possible by the use of Excel addins whose discussion is outside the scope of this book).

The Excel driver has been used for a number of years. In the current book the code has been upgraded, documented and improved. We have replaced legacy code by new code in C++11. Only one header file needs to be included. The driver can be used in a number of ways to promote developer productivity:

• Creating charts for presentations in articles and reports.
• Importing data into Excel for processing by Excel addins in C#, C++ or VBA. In this case we are using Excel as a kind of database.
• Quick testing and debugging: having developed a software prototype we can see if it is accurate by displaying its output in Excel.
• Experimenting with numerical algorithms: in this case we determine the effect of modifying certain parameters by displaying the results in Excel. For example, we may wish to examine what happens when we apply the explicit Euler scheme to the CIR interest-rate model when the Feller condition is not satisfied (Cox and Ross, ...