While I am working on compiling a list of .Net math libraries, I found a simple way to call Excel math library from F# FSI. In the following example, I will show how to use Excel’s Median, StDev and MInverse functions from F# scripting environment (FSI).

Software setup: VS2010 Sp1 with Office 2010 installed.

There are few benefits of using Excel math libraries:

• Correctness: you can almost certain the correctness of the excel math functions.
• Popularities: most the financial excel guru knows one thing or another about the excel math functions. This allow them to pickup these familiar functions very quickly.
• IDE support: Basic intellisense support is very important for the user. Just a little bit of UI hit can void breaking user’s code flow experience.

but, there are also issues:

• Debugging: When the math function is not working, debugging them is troublesome. you may get a comException gives no clue about the problem. A good way to debug these issues is to start with a small dataset, try it out inside the excel first.

Both F# and C# Code example @ http://code.msdn.microsoft.com/Calling-Excel-Math-6b811836

Happy Coding!

-jack