Working in Excel

The Excel add-in lets a workbook construct markets, define trades and request valuations from the native library. Input cells hold quotes and contractual terms. Worksheet functions combine them into market and trade objects, which pricing functions consume to calculate values and sensitivities.

Excel’s formula dependencies determine recalculation order. Object handles connect the formulas to native objects owned by the add-in.

Handles and dependencies

A constructor returns a revisioned handle such as QSObject:QuoteStore:usd_quotes:3. The add-in, not the cell, owns the native object. Handles are process-local and must be reconstructed from formulas after Excel restarts. Use workbook-unique names and a single ordered mutation chain:

A1 =QS.QUOTES.CREATE("usd_quotes","2026-01-02")
A2 =QS.QUOTES.SET(A1,"OIS_USD_SOFR_1Y",B2,,)
A3 =QS.QUOTES.SET(A2,"OIS_USD_SOFR_2Y",B3,,)
A4 =QS.CURVE.CONFIGS.CREATE("usd_curves")
A5 =QS.CURVE.CONFIGS.ADD(A4,"SOFR","Actual360","LogLinear",TRUE,E2:E10)
A6 =QS.CONTEXT.CREATE("usd_ctx",A3,A5,,,,,,,,,,"USD","SOFR")
A7 =QS.RESULT.VALUE(D6)
A8 =QS.CURVE.GET(A6,"SOFR")
A9 =QS.CURVE.TABLE(A8)

To use this fragment, populate E2:E10 with matching quote identifiers and D2 with a position from QS.TRADE.CREATE on a QS.INSTRUMENT.SWAP contract. Store an explicit policy and native pricer in D4:D5, then evaluate:

D4 =QS.DISCOUNT.POLICY.CSA("usd_policy","USD","SOFR")
D5 =QS.PRICER.CREATE("usd_pricer","DiscountedCashflowPricer",D4)
D6 =QS.EVALUATE("usd_results",D5,D2,A6,"Value")

The instrument defines contractual terms, the trade defines position terms, and the pricer selects the discount policy. Funding is an ordinary configured curve selected by that policy. Table result readers accept transpose and headers flags; QS.REQUEST.FAIR.RATE(index) requests one zero-based leg or loan rate segment and produces a scalar fair_rate result. The bundled workbook supplies the complete inputs.

Unchanged recalculation reuses cached objects. A changed quote advances its handle and invalidates dependent contexts and values; reads reject stale revisions. Branching mutations from one old revision can make another branch stale. Arrange the worksheet so each update consumes the preceding handle and the final context depends on the completed input chain.

When rows are deleted or identifiers renamed, clear and repopulate a store using QS.OBJECT.RESET. A version cell provides an explicit rebuild signal:

A1 =QS.QUOTES.CREATE("usd_quotes",$B$1)
A2 =QS.OBJECT.RESET(A1,$Z$1)
A3 =QS.QUOTES.SET(A2,"OIS_USD_SOFR_1Y",B3,,)

Financial interpretation

Dates are ISO strings. Rates and spreads are decimals, not percentage-point inputs. A curve’s day count and compounding convention do not replace the contract’s coupon conventions. An index such as SOFR identifies market objects; it does not automatically turn a regular swap into a daily-compounded OIS or select every required foreign-currency curve.

The output table’s semantics matter as much as its layout. Generic DCF cashflows show signed amounts, positive for receipts and negative for payments, and do not supply a PV column. Quote sensitivities are derivatives in each input’s units: multiply a decimal-rate derivative by 0.0001 to estimate a +1 bp change. Compare currencies only after an explicit, supported conversion.

Bond trades carry the valuation anchor. Supply CleanPrice, DirtyPrice or ZSpread and its value to QS.TRADE.CREATE on a QS.INSTRUMENT.FIXED.BOND contract. Evaluate with an explicitly configured BondPricer, then read QS.RESULT.VALUE, QS.RESULT.MODIFIED.DURATION and QS.RESULT.Z.SPREAD. A quote anchors the solved spread; it is not a replacement for signed position PV.

Scope and reproducibility

Worksheet functions cover market construction, contracts, pricing, analytics, curve inspection and native historical snapshots. Registry operations and pricing execute on Excel’s main thread; registered scalar functions can be thread-safe. Volatile registrations still reuse unchanged cached inputs. There is no worksheet script constructor; the direct payoff-program interfaces described later belong to Rust and Python.

For historical analysis, serialize coherent construction inputs rather than save handle strings. Historical valuation explains timestamp selection, quote levels and separately supplied fixings. QS.FUNCTIONS, QS.FUNCTIONS.DETAILS and QS.HELP expose worksheet help. The optional Excel guide develops binding-specific workflows, while the worksheet reference provides signatures without changing the dependency model described here.