This file uses Quantlib engine to act as server . An excel file containing input parameters is the client of the Quantlib server application.

When user changes input parameters for Heston model in Excel file, Quantlib application is notified and it updates the excel cell of Heston price with new parameters.


How To build the application

How do I get started with Quantlib on Visual C++ 2005 Express?


1.Download hestonanalytic.xls file .
eg., save it in C:\downloads folder

2.Make a backup of Equityoption.cpp file in Quantlib Examples directory.

Download and replace it withEquityOption.cpp

Note: change pathname for hestonanalytic.xls in Equityoption.cpp if it was not saved in C:\downloads folder

3.Download ExcelHelper.hpp and place it in Quantlib/Examples/Equityoption

4.Build Equityoption Quantlib project


How To Run the application

1.Run EquityOption-vc80-mt-gd.exe
It will launch the following things:

1a. hestonanalytic.xls file acts as the client
1b. EquityOption-vc80-mt-gd.exe process will run in the background

Set focus on the excel file and change input parameters. Observe that heston call price is getting updated in 1-2 secs.

How To Exit the application
Exit the excel file. EquityOption-vc80-mt-gd.exe running in background will also be exited automatically