Contents
Preface xv
Acknowledgements xvii
1 Introduction 1
1.1 Typographical and code conventions used in this book 1
1.2 What tools and resources are required to write add-ins 2
1.2.1 VBA macros and add-ins 3
1.2.2 C/C++ DLL add-ins 3
1.2.3 C/C++ DLLs that can access the C API and XLL add-ins 4
1.2.4 C/C++/C# .NET add-ins 4
1.3 To which versions of Excel does this book apply? 4
1.4 About add-ins 5
1.5 Why is this book needed? 6
1.6 How this book is organised 7
1.7 Scope and limitations 8
2 Excel Functionality 9
2.1 Overview of Excel data organisation 9
2.2 A1 versus R1C1 cell references 9
2.3 Cell contents 10
2.4 Worksheet data types and limits 10
2.5 Excel input parser 12
2.6 Data type conversion 12
2.6.1 The unary = operator 13
2.6.2 The unary − operator (negation) 13
2.6.3 Number-arithmetic binary operators: + - */^ 13
2.6.4 Percentage operator: % 13
2.6.5 String concatenation operator: & 13
2.6.6 13
2.6.7 Conversion of single-cell references 14
2.6.8 Conversion of multi-cell range references 14
2.6.9 Conversion of defined range names 15
2.6.10 Explicit type conversion functions: N(), T(), TEXT(), VALUE() 16

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10 Example Add-ins and Financial Applications 335
10.1 String functions 335
10.2 Statistical functions 344
10.3 Matrix functions – eigenvalues and eigenvectors 351
10.4 Interpolation functions: lines, curves and splines 353
10.5 Lookup and search functions 357
10.6 Financial markets date functions 363
10.7 Building and reading discount curves 371
10.8 Building trees and lattices 374
10.9 Quasi-random number sequences 374
10.10 Generating correlated random samples 375
10.11 Monte Carlo simulation 376
10.11.1 Using Excel and VBA only 377
10.11.2 Using Excel and C/C++ only 379
10.11.3 Using worksheet functions only 381
10.12 Calibration 381
References 383
Web Links and Other Resources 385
Index 387