• 64bit

    Introduction In this post we describe a technique that allows your Excel addin to be loadable by 32 bit Excel, but lets you run calculations that require more than 2GB of RAM. Most people in financial industry use 32 bit Excel even though they are running it on 64 bit Windows. The main reason for this is backward compatibility - if you have a set of 32 bit addins that you used with previous version of Excel you’ll stick to 32 bit Excel when upgrading.
  • Intrinsic

    Introduction Intrinsic value is a well defined and often used concept of option pricing theory. It is usually defined as the maximum of zero and the value the option would have if it were exercised immediately. This definition is straightforward to apply to vanilla option with single exercise decision, but its application to more complex options traded in energy markets (e.g. natural gas storage or power tolling) might be confusing. In this blog post we will develop intuition behind the definition of intrinsic value that will help us understand its importance and application to complex options.
  • Deployment Blues

    Introduction It happens often: you compile your xll addin and give it to yor client just to hear them complaining that they cannot load the xll into Excel. The error that they see is: “The file you are trying to open, ‘MyAddin.xll’, is in a different format than specified by the file extension. Verify that the file is not corrupted and is in from a trusted source before opening the file.
  • Time Stamp Your Library

    When you distribute your program, library, or xll addin it is usefull to have a function that can tell you when your project was compiled. This way you can ensure that the new program, library, or xll addin is correctly installed on a user’s system. In this post I will describe how to set up such function in your Visual Studio C++ project. Create timestamp.h with the following content: 1 2 3#include <string> std::string TestTimeStamp();
  • Spot Price Dynamics in Power Markets

    Summary The modelling of spot (daily) prices in commodities usually starts with modelling monthly average (forward) prices and then selecting some simple model to describe daily prices within the month relative to the monthly average. The most common model is a simple Geometric Brownian Motion with constant (spot) volatility. In this blog post we show that this approach results in wrong interdependencies (autocorrelation) in spot prices. We tested two other popular approaches:
  • Daily Options

    Summary When computing a monthly strip of daily options it is never a good idea to approximate it with a daily option expiring in in the middle of the month (15'th day) as errors in value or implied volatility can be as high as 4%. Instead, it is better to take the daily option that expires after 13.9 days within a month (this halves the errors of the previous method). An even better approach would be to take option that expires depending on how far is the delivery month T - with this method the errors are reduced by a factor of 10 (0.
  • UDF Services (XLW Part 5)

    In the last post I described how to write functions that can input/output arrays, matrices and ranges. For the introduction to XLW series take a look at the first post. Today I am going to describe several useful utilities that are available in XLW. There are many more utilities that are available but they do not work from UDF and only work from macros. This is Excel limitation. I will address creating macros in one of the future posts.
  • Input/output arrays, vectors, matrices or ranges (XLW Part 4)

    In the last post I described how to write simple functions using XLW. For the introduction to XLW series take a look at the first post. Today I am going to show how write functions that can input/ouput arrays, vectors, matrices or general ranges. The starting point will be the solution we set up in the previous post. If you don’t have set it up you can download it.
  • Writing Simple Excel Functions (XLW Part 3)

    In the last post I described how to set up a Visual Studio solution to build xll addins using XLW. For the introduction to XLW series take a look at the first post. Today I am going to show how easy it is to create user defined functions (UDF) for Excel using XLW. The starting point will be the solution we set up in the previous post. If you don’t have set it up you can download it.
  • Setting up a Project in Visual Studio 2013 and 2015 (XLW Part 2)

    Update: Added instructions for VS2015 (2016-07-16) The last post was the introduction to the series of XLW related posts. Today I will describe how to set up a project with XLW. XLW comes with an installer that installs the project templates for your development environment. It is a quick way to start, but you don’t have much control over the process and the project template might not match your expectation on how project should be arranged.