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If it can be solved beautifully, it would be cash cow. like the others mentioned, translating UDF (user defined function) would be a challenge. also in bank, it
by archlight 10y ago
If it can be solved beautifully, it would be cash cow. like the others mentioned, translating UDF (user defined function) would be a challenge. also in bank, it usually load quant library xll. It would be impossible to host quant library as service. nowaday i see bank just use spreadsheet as front end. a lot of logic are wrapped in code and fully tested somewhere else
- singold 10y agoThanks for your reply, I didn't know about quant libraries for excel, I`d investigate that.
- osullivj 10y agoIt's not impossible to host a quant library XLL as a service. I've done it with the QuantLib XLL. My HN profile has links that detail how it's done.
- archlight 10y agoThis is really cool. I tried a few c++ call as endpoint in a webservice. but i find it difficult to maintain state as you know market are in memory. I am also thinking to recreate dependency graph as futures in tornado but I gave up as it seems too difficult. eventually I just move xll out of excel process to make it s/s a bit light weighted and faster to run