Every $BIG_BANK still uses humongous Excel spreadsheets and xll add-ins for the heavy lifting. It is no longer a right of passage to learn arcane techniques for calling C, C++, or even Fortran from Excel. There are several good libraries to make that easy, including one I wrote: https://github.com/xlladdins/xll.
Only the ancient Excel C SDK allows you to get a pointer to 2-dimensional arrays of doubles in Excel. Every other API requires the data to be copied out and copied back in again.
Only the ancient Excel C SDK allows you to get a pointer to 2-dimensional arrays of doubles in Excel. Every other API requires the data to be copied out and copied back in again.