Posted by
Klaus Spanderen-2 on
URL: http://quantlib.414.s1.nabble.com/PayoffInterpreter-specify-new-pay-offs-and-price-them-without-code-recompilation-tp9776.html
Hi
the idea to specify new pay-offs and price them without code recompilation by
using a script language is floating around for some time.
To achieve this goal I used an interpreter for a C / Fortron90 like language
two colleagues and I have written some time ago. As an example I've connected
this interpreter with the MonteCarlo pricing engine.
The interpreter itself is running in a "Sandbox" with a C++ interface.
Therefore one has full control over the interpreter during the runtime (e.g.
reading/modifiying the variable stack, run self defined functions etc.).
If you are interest in this little project please feel free to download it
from
www.spanderen.de/PayoffInterpreter.zip
or
www.spanderen.de/PayoffInterpreter.tar.gz
Makefiles for Linux/Unix and VC++ are included. My colleagues have given
permission to put the interpreter under the Quantlib licence.
Feedback whether this project is off any use and should be developed further
on are welcome.
cheers
content of the tar ball:
langauge/ : the interpreter incl. Bison/Flex files
math/ : multi dimensional array and index array
util/ : utils
docu/ : html documentation of the language
testsuite/ : small C++ testsuite using the Sandbox
examples/ : QuantLib MonteCarlo pricer using the PayoffInterpreter
pilib/ : PayoffInterpreter example programs and tests
console/ : simple console for the PayoffInterpreter
--
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
Email:
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