Excel user guide

The Excel add-in provides worksheet functions for market construction, trade definition, valuation and risk. A pricing workbook records the inputs and connects them through formulas, so changing a quote recalculates the market and its dependent valuations. Handles returned by construction functions refer to native objects owned by the add-in.

Start with the context-first workflow for direct prices and historical batches. The detailed studies use the same context and evaluation API with explicit contracts, positions and pricing policies. Consult the worksheet reference for argument order, defaults, result schemas, aliases and error codes.

• Contexts, inputs and evaluation
  • Create the market
  • Evaluate a contract or trade
• Install and build a pricing workbook
  • Start with a coherent dated market
  • Define the contract, then its position
  • Result views and financial units
  • Use the ribbon and panel
  • Build and verification
  • Downloads
• Markets, instruments and pricing conventions
  • Bootstrapped and explicit curves
  • Fixings, FX, credit and volatility
  • Keep contracts separate from positions
  • Relative dates and pending trades
  • Policies and explicit model choices
• Loan contracts, funding and fair rates
  • Read the constructor arguments
  • Choose optional settings
  • Build a market context
  • Create fixed and floating contracts
  • Funding and borrower credit
  • Prepayment and fair-rate interpretation
• Risk, portfolios and historical snapshots
  • Sensitivities and cashflows
  • Portfolio aggregation
  • Archive complete dated markets
  • Historical batch performance

The XLL requires Windows desktop Excel. For related numerical studies, see the Python notebooks.