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Quantitative Finance by Erik Schlogl

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Appendix A

Interfacing between C++ and Microsoft Excel

A.1 The XLW project

When developing code for applications in Quantitative Finance, it is helpful to be able to focus on the core functionality, rather than on graphical user interfaces, data input and output. This was the approach taken throughout this book. However, for this code to be used in practice, some reasonably convenient interface has to be provided. One way to go about this is to use Microsoft Excel as the interface, and provide the user with access to the functionality developed using C++ by “wrapping” it in Excel add–in functions in an XLL dynamic link library.

Working directly with the Excel C API (application programming interface) is not straightforward, but fortunately there ...

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