[...]... 10 3 10 3 10 6 10 6 10 8 11 0 11 1 11 1 11 4 11 4 11 4 11 4 11 5 11 6 11 7 11 7 11 8 11 8 11 9 12 0 Contents 5.5.6 5.5.7 xlAutoRegister (xlAutoRegister12) xlAutoFree (xlAutoFree12) ix 12 2 12 3 6 Passing Data Between Excel and the DLL 6 .1 Handling Excel s internal data structures: C or C++? 6.2 How Excel exchanges worksheet data with DLL add -in functions 6.2 .1 Native C/C++ data types 6.2.2 Excel floating-point array structures:... Hiding xloper memory management within a C++ class 7.4 Getting Excel to call back the DLL to free DLL-allocated memory 7.5 Returning data by modifying arguments in place 203 203 204 205 205 12 9 13 5 14 1 14 2 14 3 14 4 14 6 15 4 15 4 15 5 15 9 16 3 16 4 16 6 16 8 17 4 17 7 17 8 18 0 19 1 19 6 19 8 19 8 2 01 206 208 208 211 x Contents 7.6 Making add -in functions thread safe 7.6 .1 Multi-threaded recalculations (MTR) in Excel. .. 9 .11 9 .12 9 .13 9 .14 417 417 419 419 429 432 433 433 434 440 4 41 Contents 10 .10 10 .11 10 .12 10 .13 10 .9 .1 Using Excel and VBA only 10 .9.2 Using Excel and C/C++ only 10 .9.3 Using worksheet functions only Calibration CMS derivative pricing The SABR stochastic volatility model Optimising the SABR implementation for CMS derivatives xv 507 509 511 511 513 519 528 Appendix 1 Contents of the CD ROM 5 31 Related... 2 91 2 91 2 91 293 297 297 298 3 01 303 309 310 311 312 312 313 315 316 316 318 318 xii Contents 8 .12 8 .13 8 .14 8 .15 8 .11 .4 Defining and deleting a name in the DLL: xlfSetName 8 .11 .5 Deleting a worksheet name: xlcDeleteName 8 .11 .6 Getting the definition of a named range: xlfGetName 8 .11 .7 Getting the defined name of a range of cells: xlfGetDef 8 .11 .8 Getting a list of named ranges: xlfNames Working with Excel. .. 9 .11 .1 Requirements 9 .11 .2 Communication between Excel and a background thread 9 .11 .3 The software components needed 9 .11 .4 Imposing restrictions on the worksheet function 9 .11 .5 Organising the task list 9 .11 .6 Creating, deleting, suspending, resuming the thread 9 .11 .7 The task processing loop 9 .11 .8 The task interface and main functions 9 .11 .9 The polling command 9 .11 .10 Configuring and controlling... bit 8 .1. 3 Accessing XLM functions from the worksheet using defined names 8.2 The Excel4 (), Excel1 2() C API functions 8.2 .1 Introduction 8.2.2 Excel4 (), Excel1 2() return values 8.2.3 Calling Excel worksheet functions in the DLL using Excel4 (), Excel1 2() 8.2.4 Calling macro sheet functions from the DLL using Excel4 (), Excel1 2() 8.2.5 Calling macro sheet commands from the DLL using Excel4 () /Excel1 2() 8.3... 4 .10 .2 Adding code to the project 4 .10 .3 Compiling and debugging the DLL 4 .11 Accessing DLL functions from VB 4 .12 Accessing DLL functions from excel 5 Turning DLLs into XLLs: The Add -in Manager Interface 5 .1 The xlcall32 library and the C API functions 5.2 What does the Add -in manager do? 5.2 .1 Loading and unloading installed add-ins 5.2.2 Active and inactive add-ins 5.2.3 Deleted add-ins and loading... 8 .10 .8 Getting a cell’s comment: xlfGetNote 8 .10 .9 Information about a window: xlfGetWindow 8 .10 .10 Information about a workbook: xlfGetWorkbook 8 .10 .11 Information about the workspace: xlfGetWorkspace 8 .10 .12 Information about the selected range or object: xlfSelection 8 .10 .13 Getting names of open Excel windows: xlfWindows 8 .10 .14 Converting a range reference: xlfFormulaConvert 8 .10 .15 Converting... of inactivate add-ins 5.3 Creating an XLL: The xlAuto interface functions 5.4 When and in what order does Excel call the XLL interface functions? 5.5 XLL functions called by the Add -in Manager and Excel 5.5 .1 xlAutoOpen 5.5.2 xlAutoClose 5.5.3 xlAutoAdd 5.5.4 xlAutoRemove 5.5.5 xlAddInManagerInfo (xlAddInManagerInfo12) 86 87 88 89 89 89 90 90 91 91 92 93 94 95 95 97 97 98 98 10 0 10 1 10 3 10 3 10 6 10 6 10 8... optimisation 9 .14 .3 Excel calculation optimisation 4 01 402 404 405 406 406 407 408 409 409 411 412 413 415 416 10 Example Add-ins and Financial Applications 10 .1 String functions 10 .2 Statistical functions 10 .2 .1 Pseudo-random number generation 10 .2.2 Generating random samples from the normal distribution 10 .2.3 Generating correlated random samples 10 .2.4 Quasi-random number sequences 10 .2.5 The normal . alt="" Financial Applications Using Excel Add -in Development in C/C++ Second Edition of Excel Add -in Development in C/C++ Steve Dalton Financial Applications using Excel Add -in Development in C/C++ For. do? 11 4 5.2 .1 Loading and unloading installed add-ins 11 4 5.2.2 Active and inactive add-ins 11 4 5.2.3 Deleted add-ins and loading of inactivate add-ins 11 4 5.3 Creating an XLL: The xlAuto interface. thread 411 9 .11 .7 The task processing loop 412 9 .11 .8 The task interface and main functions 413 9 .11 .9 The polling command 415 9 .11 .10 Configuring and controlling the background thread 416 9 .11 .11 Other