Project overview
There are 4 main projects:
- General
- Valuations
- Excel
- QuantSAInterfaces
and 2 test projects
General and Valuation
Most maths and finance except valuation is implemented in General. The simulators and other valuation tools are implemented in Valuations. The main reason for this separation is that it keeps the valuation philosphy enforced. A product in General can have no reference to the Valuations project this forces the developer to consider only the market observables when implementing the cashflows of the product and not how these will be generated.
QuantSAInterfaces
These are the interfaces that are used by plugins.
Excel
The actual functions that get exposed to Excel and some utilities and features for the main add-in. This project heavily uses ExcelDNA.
Whenever possible the functions in here should be wrappers that only convert data before sending it through to functions in General and Valuation
See here for more details about expsosing functions to Excel.
Project details - General
Curves
Various curves for providing fixes or forecasts.
CurveTools
Tools used to contruct or generate curves.
DataAnalysis
Formulae
Standard formulae such as the Black Scholes equation.
MarketObservables
Project details - Valuation
Project details - Excel
Each public static function that wraps something in General or Valuation should sit in a class and file called XLSomething where something is the name of the project or source sub folder in which the called function resides.