Initial version for tryout

BJExcelLib.sln

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+
+Microsoft Visual Studio Solution File, Format Version 12.00
+# Visual Studio 2013
+VisualStudioVersion = 12.0.21005.1
+MinimumVisualStudioVersion = 10.0.40219.1
+Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "UDFs", "UDFs", "{C34891EC-85D9-4CCE-880D-9F81F84677C3}"
+	ProjectSection(SolutionItems) = preProject
+		BJExcelLib\UDF.American.fs = BJExcelLib\UDF.American.fs
+		BJExcelLib\UDF.Blackscholes.fs = BJExcelLib\UDF.Blackscholes.fs
+		BJExcelLib\UDF.Date.fs = BJExcelLib\UDF.Date.fs
+		BJExcelLib\UDF.Interpolation.fs = BJExcelLib\UDF.Interpolation.fs
+		BJExcelLib\UDF.Misc.fs = BJExcelLib\UDF.Misc.fs
+		BJExcelLib\UDF.Volatility.fs = BJExcelLib\UDF.Volatility.fs
+	EndProjectSection
+EndProject
+Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "Finance", "Finance", "{733C851A-70E4-44BF-96D5-F361562FA094}"
+	ProjectSection(SolutionItems) = preProject
+		BJExcelLib\Finance.Blackscholes.fs = BJExcelLib\Finance.Blackscholes.fs
+		BJExcelLib\Finance.Date.fs = BJExcelLib\Finance.Date.fs
+		BJExcelLib\Finance.JuZhong.fs = BJExcelLib\Finance.JuZhong.fs
+		BJExcelLib\Finance.SVI.fs = BJExcelLib\Finance.SVI.fs
+	EndProjectSection
+EndProject
+Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "Math", "Math", "{99FB6D68-12D5-41DC-9272-7BC467A21501}"
+	ProjectSection(SolutionItems) = preProject
+		BJExcelLib\Math.Interpolation.fs = BJExcelLib\Math.Interpolation.fs
+	EndProjectSection
+EndProject
+Project("{F2A71F9B-5D33-465A-A702-920D77279786}") = "BJExcelLib", "BJExcelLib\BJExcelLib.fsproj", "{CCCFFCBC-7434-4262-A7C1-730F94362E7F}"
+EndProject
+Project("{F2A71F9B-5D33-465A-A702-920D77279786}") = "BJExcelLibTests", "BJExcelLibTests\BJExcelLibTests.fsproj", "{1F3EDE6E-7D84-45BD-9B0C-00198760A714}"
+EndProject
+Global
+	GlobalSection(SolutionConfigurationPlatforms) = preSolution
+		Debug|Any CPU = Debug|Any CPU
+		Release|Any CPU = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(ProjectConfigurationPlatforms) = postSolution
+		{CCCFFCBC-7434-4262-A7C1-730F94362E7F}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{CCCFFCBC-7434-4262-A7C1-730F94362E7F}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{CCCFFCBC-7434-4262-A7C1-730F94362E7F}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{CCCFFCBC-7434-4262-A7C1-730F94362E7F}.Release|Any CPU.Build.0 = Release|Any CPU
+		{1F3EDE6E-7D84-45BD-9B0C-00198760A714}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{1F3EDE6E-7D84-45BD-9B0C-00198760A714}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{1F3EDE6E-7D84-45BD-9B0C-00198760A714}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{1F3EDE6E-7D84-45BD-9B0C-00198760A714}.Release|Any CPU.Build.0 = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(SolutionProperties) = preSolution
+		HideSolutionNode = FALSE
+	EndGlobalSection
+EndGlobal

BJExcelLib/BJExcelLib-AddIn.dna

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+<DnaLibrary Name="BJ Excel Add-In" RuntimeVersion="v4.0">
+
+  <ExternalLibrary Path="BJExcelLib.dll" LoadFromBytes="true" Pack="true" ExplicitExports="true"/>
+
+  <Reference Path="FSharp.Core.dll" Pack="true" />
+  <Reference Path="FSharpx.Core.dll" Pack="true" />
+  <Reference Path="MathNet.Numerics.dll" Pack="true" />
+  <Reference Path="MathNet.Numerics.FSharp.dll" Pack="true" />
+  <Reference Path="MathNet.Numerics.IO.dll" Pack="true" />
+  <Reference Path="alglibnet2.dll" Pack="true"/>
+</DnaLibrary>

BJExcelLib/BJExcelLib-AddIn64.dna

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+<DnaLibrary Name="BJ Excel Add-In" RuntimeVersion="v4.0">
+
+  <ExternalLibrary Path="BJExcelLib.dll" LoadFromBytes="true" Pack="true" ExplicitExports="true"/>
+
+  <Reference Path="FSharp.Core.dll" Pack="true" />
+  <Reference Path="FSharpx.Core.dll" Pack="true" />
+  <Reference Path="MathNet.Numerics.dll" Pack="true" />
+  <Reference Path="MathNet.Numerics.FSharp.dll" Pack="true" />
+  <Reference Path="MathNet.Numerics.IO.dll" Pack="true" />
+  <Reference Path="alglibnet2.dll" Pack="true"/>
+</DnaLibrary>
+

BJExcelLib/BJExcelLib.fsproj

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+<?xml version="1.0" encoding="utf-8"?>
+<Project ToolsVersion="4.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
+  <PropertyGroup>
+    <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
+    <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
+    <SchemaVersion>2.0</SchemaVersion>
+    <ProjectGuid>cccffcbc-7434-4262-a7c1-730f94362e7f</ProjectGuid>
+    <OutputType>Library</OutputType>
+    <RootNamespace>BJExcelLib</RootNamespace>
+    <AssemblyName>BJExcelLib</AssemblyName>
+    <TargetFrameworkVersion>v4.5</TargetFrameworkVersion>
+    <Name>BJExcelLib</Name>
+    <TargetFSharpCoreVersion>4.3.0.0</TargetFSharpCoreVersion>
+  </PropertyGroup>
+  <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
+    <DebugSymbols>true</DebugSymbols>
+    <DebugType>full</DebugType>
+    <Optimize>false</Optimize>
+    <Tailcalls>false</Tailcalls>
+    <OutputPath>bin\Debug\</OutputPath>
+    <DefineConstants>DEBUG;TRACE</DefineConstants>
+    <WarningLevel>3</WarningLevel>
+    <DocumentationFile>bin\Debug\BJExcelLib.XML</DocumentationFile>
+    <StartAction>Program</StartAction>
+    <StartProgram>C:\Program Files\Microsoft Office 15\root\office15\EXCEL.EXE</StartProgram>
+    <StartArguments>D:\Programmeren\BJExcelLib\BJExcelLib\bin\Debug\BJExcelLib-Addin.xll</StartArguments>
+  </PropertyGroup>
+  <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
+    <DebugType>pdbonly</DebugType>
+    <Optimize>true</Optimize>
+    <Tailcalls>true</Tailcalls>
+    <OutputPath>bin\Release\</OutputPath>
+    <DefineConstants>TRACE</DefineConstants>
+    <WarningLevel>3</WarningLevel>
+    <DocumentationFile>bin\Release\BJExcelLib.XML</DocumentationFile>
+  </PropertyGroup>
+  <PropertyGroup>
+    <MinimumVisualStudioVersion Condition="'$(MinimumVisualStudioVersion)' == ''">11</MinimumVisualStudioVersion>
+  </PropertyGroup>
+  <Choose>
+    <When Condition="'$(VisualStudioVersion)' == '11.0'">
+      <PropertyGroup>
+        <FSharpTargetsPath>$(MSBuildExtensionsPath32)\..\Microsoft SDKs\F#\3.0\Framework\v4.0\Microsoft.FSharp.Targets</FSharpTargetsPath>
+      </PropertyGroup>
+    </When>
+    <Otherwise>
+      <PropertyGroup>
+        <FSharpTargetsPath>$(MSBuildExtensionsPath32)\Microsoft\VisualStudio\v$(VisualStudioVersion)\FSharp\Microsoft.FSharp.Targets</FSharpTargetsPath>
+      </PropertyGroup>
+    </Otherwise>
+  </Choose>
+  <Import Project="$(FSharpTargetsPath)" Condition="Exists('$(FSharpTargetsPath)')" />
+  <ItemGroup>
+    <Compile Include="Util.Extensions.fs" />
+    <Compile Include="ExcelDna.IO.fs" />
+    <Compile Include="ExcelDna.Cache.fs" />
+    <Compile Include="Math.Constants.fs" />
+    <Compile Include="NormalDistribution.fs" />
+    <Compile Include="Math.Interpolation.fs" />
+    <Compile Include="Math.Interpolation2D.fs" />
+    <Compile Include="Math.Optimization.fs" />
+    <Compile Include="Finance.Date.fs" />
+    <Compile Include="Finance.SVI.fs" />
+    <Compile Include="Finance.Blackscholes.fs" />
+    <Compile Include="Finance.JuZhong.fs" />
+    <Compile Include="UDF.Date.fs" />
+    <Compile Include="UDF.Interpolation.fs" />
+    <Compile Include="UDF.Volatility.fs" />
+    <Compile Include="UDF.Blackscholes.fs" />
+    <Compile Include="UDF.American.fs" />
+    <Compile Include="UDF.CalendarManager.fs" />
+    <Compile Include="UDF.Misc.fs" />
+    <None Include="packages.config" />
+    <Content Include="BJExcelLib-AddIn.dna">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
+    <Content Include="BJExcelLib-AddIn64.dna">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
+  </ItemGroup>
+  <ItemGroup>
+    <Reference Include="alglibnet2">
+      <HintPath>C:\Programming\alglib 3.8.0\alglibnet2.dll</HintPath>
+    </Reference>
+    <Reference Include="ExcelDna.Integration">
+      <HintPath>..\packages\Excel-DNA.0.30.3\lib\ExcelDna.Integration.dll</HintPath>
+      <Private>False</Private>
+    </Reference>
+    <Reference Include="FSharp.Core, Version=$(TargetFSharpCoreVersion), Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a">
+      <Private>True</Private>
+    </Reference>
+    <Reference Include="FSharpx.Core">
+      <HintPath>..\packages\FSharpx.Core.1.8.39\lib\40\FSharpx.Core.dll</HintPath>
+      <Private>True</Private>
+    </Reference>
+    <Reference Include="MathNet.Numerics">
+      <HintPath>..\packages\MathNet.Numerics.2.6.1\lib\net40\MathNet.Numerics.dll</HintPath>
+      <Private>True</Private>
+    </Reference>
+    <Reference Include="MathNet.Numerics.FSharp">
+      <HintPath>..\packages\MathNet.Numerics.FSharp.2.6.0\lib\net40\MathNet.Numerics.FSharp.dll</HintPath>
+      <Private>True</Private>
+    </Reference>
+    <Reference Include="MathNet.Numerics.IO">
+      <HintPath>..\packages\MathNet.Numerics.2.6.1\lib\net40\MathNet.Numerics.IO.dll</HintPath>
+      <Private>True</Private>
+    </Reference>
+    <Reference Include="mscorlib" />
+    <Reference Include="System" />
+    <Reference Include="System.Core" />
+    <Reference Include="System.Numerics" />
+  </ItemGroup>
+  <PropertyGroup>
+    <PostBuildEvent>echo F | xcopy "D:\Programmeren\BJExcelLib\packages\Excel-DNA.0.30.3\tools\ExcelDna.xll" "$(TargetDir)BJExcelLib-AddIn.xll" /C /Y
+echo F | xcopy "D:\Programmeren\BJExcelLib\packages\Excel-DNA.0.30.3\tools\ExcelDna64.xll" "$(TargetDir)BJExcelLib-AddIn64.xll" /C /Y
+"D:\Programmeren\BJExcelLib\packages\Excel-DNA.0.30.3\tools\ExcelDnaPack.exe" "$(TargetDir)BJExcelLib-AddIn.dna" /Y
+"D:\Programmeren\BJExcelLib\packages\Excel-DNA.0.30.3\tools\ExcelDnaPack.exe" "$(TargetDir)BJExcelLib-AddIn64.dna" /Y</PostBuildEvent>
+  </PropertyGroup>
+  <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 
+       Other similar extension points exist, see Microsoft.Common.targets.
+  <Target Name="BeforeBuild">
+  </Target>
+  <Target Name="AfterBuild">
+  </Target>
+  -->
+</Project>

BJExcelLib/ExcelDna.Cache.fs

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+namespace BJExcelLib.ExcelDna
+
+open ExcelDna.Integration
+open ExcelDna.Integration.Rtd
+open System.Collections.Generic
+
+
+/// Module that allows creation of persistent objects from excel. Got the idea 
+/// (and a big part of the code) from the ExcelDNA group in a post by "DC":
+/// https://groups.google.com/forum/#!searchin/exceldna/xlcache/exceldna/E4vIOSNwHm0/yHmVTW4FHA0J
+module public Cache =
+
+    /// The cache that holds objects indexed by a key
+    let private cache = Dictionary<_,_>()
+    let private tagstore = Dictionary<_,_>()
+
+    /// Registers an object in the cache. The tag is an id for the category the object belongs to
+    /// The tag is not equal to the final handle the object gets, because a counter will be prepared
+    let public register tag o =
+        let counter = 
+            match tagstore.TryGetValue tag with
+                | true, c -> c + 1
+                | _       -> 1
+
+        tagstore.[tag] <- counter
+        let handle = tag + "." + counter.ToString()
+        cache.[handle] <- box o
+        XlCall.RTD("BJExcelLib.ExcelDna.CacheRTD", null, handle)
+
+    /// Removes a given handle from the cache
+    let public unregister handle =    
+        if cache.ContainsKey(handle) then cache.Remove(handle) |> ignore
+
+    /// resets the cache by removing all values in there
+    let public reset =
+        cache.Clear()
+        tagstore.Clear()
+
+    /// Finds a value in the cache. If no value is found, None is returned. If a value is found, then
+    /// the the result is wrapped in Some and returned, otherwise None is returned.
+    let lookup handle =
+        match cache.TryGetValue handle with
+            | true, value -> Some(value)
+            | _           -> None
+
+/// Excel RTD server to handle the registering/unregistering of object handles
+type public CacheRTD() =
+    inherit ExcelRtdServer() 
+    let _topics = new Dictionary<ExcelRtdServer.Topic, string>()
+    override x.ConnectData(topic:ExcelRtdServer.Topic, topicInfo:IList<string>, newValues:bool byref) =
+            let name = topicInfo.Item(0)
+            _topics.[topic] <- name
+            name |> box
+    override x.DisconnectData(topic:ExcelRtdServer.Topic) =
+                _topics.[topic] |> Cache.unregister
+                _topics.Remove(topic) |> ignore