A library for financial engineering.
This libray has platform-independent C++ header files (starting with fms_) for option pricing and greeks. The corresponding files starting with xll_ implement Excel add-ins to call the C++ code.
After cloning the repository and opening the solution, pressing F5 should build the add-in and start Excel in the debugger with the add-in loaded. You must specify the x86 platform if you use 32-bit Excel.