Excel Monte-Carlo Pricer

I’ve updated the Monte-Carlo pricer to run in excel. Give it a go and the benefits should be obvious – no more messing around with consoles or repeated typing, excel provides a handy interface for running C++ files.

What you’ll need to do is:

  • Download the Excel pricing sheet
  • Download the .xll library (large!) – this is the equivalent of the old .exe file
  • Open the Excel file, and drag-and-drop the .xll file inside the pricing sheet
  • Click on the option to “enable this add-on for this session only”
  • The Option Price function should now re-calculate option price as you make changes to the parameters!

Try using the option pricer function yourself – it now works just like a native excel function, so you can drag it into many cells and it will adjust target cells as usual allowing for easy variation of parameters and plotting of results.

If you’ve successfully set up XLW and Code::Blocks as I described in a previous post, I’ve also made the source code available in a .zip file which you can load in Code::Blocks and fiddle with yourself. I’ll be doing a bit of updating soon to make the code slightly cleaner and allow pricing of more interesting options.

The old console project source code is still available in compiled form and with the source code in a zip file at the bottom of the MC pricers page.