Posted by
Joseph Wang-2 on
URL: http://quantlib.414.s1.nabble.com/PayoffInterpreter-specify-new-pay-offs-and-price-them-without-code-recompilation-tp9776p9777.html
What would be nice is if there were some standard C++ interfaces which people
could using to "hook in" function evaluation systems from any language.
Something very simple would be a "function adapter" which defined a function
that took a double and returned a double,
The trend I've seen in production code is to move away from special built
payoff engines and toward general purpose scripting languages, because
special built payoff engines tend in the long run to be unmaintainable. The
other trend I've seen is to try to be interpreter agnostic since a typical
situation is one in which you have two or three custom payoff interpreters
which are used in various places, and there is an effort to try to start
merging the code base.
Also as far as payoffs, one thing that needs to be defined is the ability to
specify a payoff schedule.
One final thing, what would be useful is to create an object in python,
matlab, R, java or what have you, and this would generate a C++ object which
would look and act like any other C++ object out there. This would be useful
not only in payoffs, but also generally useful both inside and outside of
quantlib.
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