Posted by
Klaus Spanderen-2 on
URL: http://quantlib.414.s1.nabble.com/PayoffInterpreter-specify-new-pay-offs-and-price-them-without-code-recompilation-tp9776p9784.html
Hi Nando,
the language itself is quite comprehensive C derivative with some MatLab/
Fortran90 extensions, e.g. vector/matrix as build-in types and the
interpreter has a C++ interface. The "problem" is that the project consists
of +20K lines of code and I don't want to blow up QL until I know that a
PayoffInterpreter is of any use for other users;-). The parser itself is
written using GNU Flex/Bison.
On Tuesday 18 September 2007 10:45 am, Ferdinando Ametrano wrote:
> I would be interested in knowing what are the approaches used on the
> street by commercial or proprietary parsers, any ad-hoc open source
> library which could help, design decisions, etc
At least on the equity side stucturer are using script/interpreter languages
together with MonteCarlo scenorio engines.(e.g. Reech).
cheers
--
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
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