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Asian Options UDF

Version: 1.0

Description

This sample demonstrates how to accelerate the execution of a compute-intensive Microsoft Excel workbook by offloading the UDF to a Windows HPC cluster.

Overview

The Asian Options UDF sample is composed of two parts:

  • A Microsoft Excel XLL add-in containing a user-defined function (UDF) calculating Monte Carlo pricing simulations.
  • A Microsoft Excel workbook that uses the XLL add-in to run one hundred UDF calculations using the Monte Carlo method for pricing simulations. Each such calculation runs iteratively for a variable number of iterations; the default for this workbook is one hundred thousand.

This sample demonstrates how to accelerate the execution of a compute-intensive Microsoft Excel workbook by offloading the UDF to a Windows HPC cluster.

Note:
Though this sample was originally developed for Windows HPC Server 2008 R2 SP1, it has been verified to run under Windows HPC Server 2008 R2 SP2. The sample should preferably be run under Windows HPC Server 2008 R2 SP2.

Key Features

This sample demonstrates the following:

  • Creating an XLL add-in that contains a cluster-safe Microsoft Excel UDF.
  • Consuming the UDF from a Microsoft Excel workbook.
  • Deploying the UDF on a cluster (both on-premises and in Windows Azure), and accelerating the execution of the computation.

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Downloads

Download The Offline Training Kit
Download Hands-on Lab Document (DOCX)
Download Hands-on Lab Source Files

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