Products > iLib
iLib
iLib is an Excel add-in library of
financial functions for investment analytics and the
pricing and risk management of foreign exchange,
interest rates, bonds and futures and standard and exotic
options on all the above.
It provides over 100 functions providing answers to a vast range of financial questions.
Follow these links to learn more about who should be
using it, how it works and why you choose iLib over
competitor's products. There is also a list of iLib
functions and, for those who may be interested, a
description of the technology behind it.
The best way to find out if it will suit your purposes
is to try it out! You can download a free trail version
from this site. This is a fully functional demo that will
work for 30 days.
Who's if for?
For Corporate Treasurers, it prices embedded options,
allows you to check your bank’s pricing of forwards, swaps and options and helps you
manage your overall currency and interest rate exposures.
For Derivatives trading & sales desks,
it prices derivatives & structured deals and allows you to easily construct
spread sheets for pricing and ongoing risk management.
For Financial Institution Risk Controllers, it produces
timely and insightful market risk analysis and provides an independent
second opinion on the market value and risk metrics of a huge rage of derivative products.
For Financial Controllers, it can provide an independent valuation
of your financial instruments for compliance with the new
accounting standards.
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How does it work?
iLib is an Excel add-in that integrates seamlessly with Excel.
Once installed, iLib functions appear in Excel menus just like standard
Excel functions. They can be inserted using the function wizard and saved as part of the
workbook. Help on each function is available from within Excel.
iLib is easy to use. For example, a common but labour intensive task that
finance professionals often face is the need to build an
interest rate 'zero curve' and then calculate the 'par
rate sensitivities' of a number of cash flows form that
'zero curve'.
In iLib this is a work of moments. To
create the zero curve, you simply need to enter the
interest rates and a few incidental parameters and then
insert a single formula.
Creating a par rate sensitivity ladder
is even easier. Press the function insert button, select
the cell containing the curve and the range containing the
cash flows and press OK!
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Why choose iLib?
Practicality
- It is designed by market participants for market participants.
- It avoids issues such as continuously compounded interest rates and differences between option expiry and delivery dates.
- It lets you get on with your job rather than coding and testing models.
- Control information like holidays, day count types
and business day conventions can be overridden in a
user-managed control file.
Support
- For our clients in Australia, New Zealand and East Asia, iLib support is available in your
time zone.
- iLib development is driven by its users. Should you require additional functions, we’d be happy to oblige
Flexibility and Price
- It’s comprehensive.
- It’s reasonably priced.
- It can be used in conjunction with data providers like Reuters and Bloomberg to provide real-time analytics.
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List of iLib functions
Date Functions
AddBusDays
AddBusDays
AddMonths
DayCount
DCF
DefaultCentre
DeliveryDate
FarDate
FollowingDate
FxSpotDate
FxTomDate
IsBusDay
IsHoliday
IsLastBusDayOfMonth
IsLeapYear
LastBusDayOfMonth
LastTradeDate
ModFollowingDate
ModPreceedingDate
NearDate
NextBusDay
PreceedingDate
PrevBusDay
Curve Functions
Interest Rate Swap Functions
BSParRate
InterestRateSwap
SwapDates
SwapFixedCashFlows
SwapFixedLeg
SwapFloatCashFlows
SwapFloatLeg
SwapParRate
Futures Functions
ConvexityAdjustment
DeliveryDate
LastTradeDate
NotionalTenor
FuturesDCT
TickValue
PositionValue
SFEBankBillValue
SFE10yrBondValue
SFE10yrSwapValue
SFE3yrBondValue
SFE3yrSwapValue
FX Functions
FxCrossRate
FxDomIntrRate
FxDomIntrRate2
FxFgnIntrRate
FxFgnIntrRate2
FxFwdPoints
FxFwdRate
FxHrr
FxImpliedYield
FxPreDelivery
FxSpotRate
Vanilla Option Functions
Binomial
BinomialGreek
BlackScholes
BlackScholesGreek
FxAmerOpt
FxEuroOpt
FxEuroOptGreek
FxEuroOptCv
FxEuroOptCvGreek
FxAmerOptGreek
FxAmerOptGreekCv
Exotic Option Functions
AverageRate
Barrier
BarrierGreek
FxBarrier
FxBarrierCv
FxBarrierGreek
FxBarrierGreekCv
Compound
Digital
DigitalGreek
FxDigital
FxDigitalCv
FxDigitalGreek
FxDigitalGreekCv
LookBackFloatStrike
FxLookBackFloatStrike
FxLookbackFloatStrikeGreek
FxLookbackFloatStrikeGreekCv
Bond Functions
BBondAccruedInt
BondCashFlows
BondCashFlowSens
BondCleanPrice
BondCouponPeriods
BondDirtyPrice
BondDuration
BondModDuration
BondNextCouponDate
BondPrevCouponDate
BondSwapSpread
BondYieldFromCP
BondYieldFromDP
CashFlowDuration
CashFlowZSpread
CreditDerivDiscSpreadDirtyPrice
CreditDerivDiscSpreadTradedMargin
FrnAccruedInt
FrnCashFlows
FrnCashFlowSens
FrnCleanPrice
FrnDirtyPrice
FrnDirtyPriceCv
FrnDuration
FrnMarginFromCP
FrnMarginFromDP
FrnMarginFromDpCv
Misc. Functions
CompAnnlRet
LinearInterp
LogInterp
RetVariance
RetCoVariance
RetCoVarMatrix
HistVolatility
RetCorrelation
RetCorrMatrix
LambdaSamples
PortfolioRet
PortfolioVariance
PortfolioVolatility
ControlFilePath
ReloadControlFile
iLibVersion
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The technology behind iLib
iLib is an Excel C API DLL, or XLL, file. It is written
in C++. There are two approaches in writing an Excel
Add-In. The first and older approach is the one we’ve
taken, using the C API. The second is to use the Microsoft
OLE or ActiveX interface.
In our testing we found the API approach significantly
faster so, aiming for optimal performance, went down that
route.
iLib works with all versions of Excel after 97.
We also have a straight Windows DLL version available
for direct integration into other Windows applications. We
would be happy to receive your enquires on the application
version.
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