Financial Applications of Excel Add-In Development in C/C++ by Steve Dalton

Since authors are, first and foremost, consumers of books, I wanted this edition to be worth buying again, as there’s nothing worse than a second edition that isn’t. However, large sections of the book are very much like the first, and so I’m very happy to be able to explain here what almost two years’ effort has been all about.

Holes have been filled and areas augmented, many of these arising from questions I have received since publication.

The example code class, cpp_xloper, that encapsulates Excel’s xloper data type, now wraps the call-backs Excel4 and Excel4v, allowing for faster, clearer and safer coding. There’s a skeleton XLL project containing a shell worksheet function and a shell command, providing a simple starting point.

There are new financial applications, including SABR and simple CMS derivatives. As before, these are there simply to illustrate how to encapsulate real problems with fast and flexible interfaces.

Microsoft Excel 2007 is the most important release, for XLL developers, since Excel 97. Much of the book’s new material explores the opportunities and challenges that this raises. Two key new features are multi-threaded workbook recalculation and a grid that is over 1,000 times larger than that of Excel 2003. Microsoft have written a new Excel C API and SDK which provides new data types that support the larger grids, and for the first time, long Unicode strings. Thread-safe XLL worksheet functions can be registered as such, enabling Excel 2007 to call them concurrently on multiple threads. This not only leads to faster recalculation on multi-processor and -core machines, but also XLLs that can harness highly-parallel servers. The application to Monte Carlo simulation is obvious.

Programming in a multi-threaded environment will be a new challenge for many XLL developers. Thread-safe programming techniques are carefully explained in an XLL context: where, when and how to use them.

I am very grateful to those who bought the first book and provided feedback. The second edition is a much better book in part because of them. I hope those who buy it will get as much out as I have tried to put in.

I’d be happy to respond to any questions or feedback you might have.

Steve

To pre-order: Financial Applications using Excel Add-in Development in C/C++, 2nd Edition

Publishing July 13th, 2007