This reminds me that compiling QuantLib is such a pain in the ass. I love QuantLib though - I use it via C# and there is an Excel plugin already available in the source code.

As regards your example:

(a) single-name options usually have an American exercise-type.

(b) the main difficulty (and the thing one would actually pay for) is getting and maintaining a vol-surface for pricing these things - using flat vol to price this is quite inaccurate and risky.

Perhaps someone can help me with a related capability. I am looking for a tool to administer and query the price of structured products (options, securities, indices, etc)

On the administration side: Manage which clients, have been sold which products, value of the product (notional/sold value) and maturity date. On the valuation side: link to treasury and banking systems, and various price feeds to determine current value of structured product.

Is there anything off-the shelf that any of you are aware off?

Neat. You should make it an app using the new 2013 excel applications http://msdn.microsoft.com/en-us/library/office/apps/fp142161...

honest question - does anyone use quantlib in production?

who would need to use QuantLib in Excel?

this is pretty neat, thanks for sharing

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