Investment banks have an increasing need for computation power. Grid computing represents today a challenging technology for exploiting the capacity of thousands of interconnected computers. This set of papers presents the design and architecture of a complete distributed system for financial sensitivities computation. As Microsoft Excel is widely used in investment banks it appears necessary to allow users to submit computations to the grid directly from Excel. Pricing Partners develops an extensible and modular financial library for Excel named Price-it®. A primary objective is to distribute Price-it® computations on a grid; a more general purpose is to be able to distribute any C++ financial library such as Price-it®. This first paper deals with the technical aspects related to the use of Excel as a client for a grid computing system built on top of a C++ library.

In order to distribute computations initiated from Excel and executed in a library, special attention has to be given to the existing interfaces between Excel and the library. By building specific interfaces between Excel and the library, one extends the functionalities of Excel by providing functions to the user. Two interfaces commonly used in banks are going to be presented in details: the XLL interface (eXceL Library) and the...

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