The assailants stormed the exchange after launching a grenade attack at the main gate to the building.
Latest reports quote police saying officers have killed all four heavily armed gunmen and are combing the area.
Militants from the Baloch Liberation Army say they were behind the attack.
Ethnic Baloch groups have fought a long-running insurgency for a separate homeland and a greater share of resources in Pakistan's Balochistan province.
Pakistan has suffered years of militant violence, mostly by Islamist groups, but attacks such as this one have become rare in recent years.