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Apache-2.0

EliteQuant_Excel

Excel量化模型和交易平台


平台介绍

EliteQuant 是一个开源并永久免费的统一量化交易平台,由量化投资者所写并为量化投资者服务。它同时在github码云上开源。

统一这个词有两层意思

  • 首先是统一的回测和实盘交易。只需将数据源在回测和实盘间切换即可,最大限度保持策略稳定性和真实性
  • 其次,多语言编写的平台在交易结构和绩效评估上是一致的。所以在与其他交易员就策略,想法和绩效方面进行复制和交流就变得非常容易和方便。

EliteQuant 相关项目包括

项目纲要

EliteQuant Excel是用于定价,投资组合和风险管理的Excel插件工具。它使用QuantLib作为利率产品,CDS,股票和商品的定价引擎。蒙特卡洛引擎将QuantLib扩展到PFE和CVA等应用计算上。

有关更多详情,请查看介绍性博客文章优酷视频

参与开发

我们欢迎任何形式的贡献,包括发现问题,发送代码块,或创建拉请求。通过共享代码架构,这还会帮助使用其他语言的交易者。

项目安装

不需要安装,直接下载Compiled.zip 文件并解压使用。

####运行编译好的可执行文件

下载位于项目根目录下的文件Compiled.zip。启动Excel并从解压文件的位置打开EliteQuantExcel-addin-x86.xll或EliteQuantExcel-addin-x64.dll。一个名为EliteQuant的功能区选项卡应该显示出来。所有函数以eq开头,例如,调用Excel函数eqtimetoday()它将返回今天的日期。在演示下拉菜单中有Black-Scholes和市场历史数据工作簿。

####运行源代码

(1)将boost,编译的QuantLib和swigwin放在文件夹 D:\workspace 中。如果使用不同的路径,则必须相应地更改项目引用路径。

(2)下载并编译项目。

(3)从Excel中打开xll文件,功能区将显示出来。

开发环境

以下是我们正在使用的环境

  • boost c ++库v1.6.5
  • QuantLib c ++库v1.11
  • Swig Windows 3.0.12
  • Microsoft Visual Studio 社区免费版 2017
  • Microsoft .Net框架4.7(您可能需要将其降级以符合您的机器要求)
  • Microsoft Office Excel Professional Plus 2016

演示案例

Black-Scholes 模型

Black Scholes

历史数据

历史数据

开发计划

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简介

投资银行生产级Excel量化投资交易平台,使您能够在Excel电子表格中创建量化的金融模型,就像交易员,量化研究员和基金经理等金融专业人员每天日常工作做的一样。您可以为所有资产类别包括利率或外汇,从普通期权到奇异期权等产品进行定价。您还可以通过RTD实时数据支持,从Excel进行回测和实盘交易 展开 收起
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