Calquant was an idea born from my observation that many finance professionals are in need of a simple tool to perform advanced financial calculations and analytics right from Microsoft Excel, the platform of choice (still today) for many financial companies, banks and fund managers.

While many softwares are available, they usually require the front-office staff to be largely familiar with a coding language and possess advanced programming skills, usually the domain and skills of quants. Calquant was born to bridge this gap and provide a tool that is easy-to-use while not compromising on the level of complexity and calculation power that financial professionals often require.

To develop Calquant, we are relying on a variety of open-source projects which we have then extended and adjusted for the purpose of Calquant. Some of the projects forming the backbone of Calquant include:

• Quantlib (Github repository) – a free, open-source library for quantitative finance. The QuantLib project (https://www.quantlib.org) is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life.
• QLNet (Github repository) – a financial library written in C# derived primarily from its C++ counterpart, Quantlib, which has been used as a base reference for modelling various financial instruments. QLNet also contains new developments on the bond market like MBS, Amortized Cost, PSA Curve and others.
• Excel-DNA (Github repository) – an independent project that integrates .NET into Microsoft Excel to extend its native capabilities. Using C#, Visual Basic.NET or F#, it is possible to create a standalone add-in file (.xll) with high-performance user-defined functions (UDFs), custom ribbon interfaces, and much more!

Calquant is developped in C# (mainly) in order to facilitate its integration with Microsoft Excel while also relying on a large number of underlying packages and libraries to facilitate heavy calculations.