Re: [Quantlib-dev] Question regarding range of strings inObjectHandler

[Neil F. <ne...@qu...>]

I know a number of places use Flex/Bison or Lex/Yacc to implement payoff
scripting. The advantages being that it is well tested, and very fast. A
fast implementation is needed as the payoff scripting will be used
inside an American Monte Carlo engine.

http://www.monmouth.com/~wstreett/lex-yacc/lex-yacc.html

Neil

-----Original Message-----
From: qua...@li...
[mailto:qua...@li...] On Behalf Of
Ferdinando Ametrano
Sent: 07 July 2008 10:47
To: abdelkader ratnani
Cc: qua...@li...
Subject: Re: [Quantlib-dev] Question regarding range of strings
inObjectHandler

On Thu, Jun 26, 2008 at 2:02 PM, abdelkader ratnani
<abd...@gm...> wrote:
> Basically, I need this range of strings as a building blocks for
scripted
> payoffs, this is what some houses are using
> to represent generic instruments where you defined your floating leg
and
> exotic legs using scripted payoffs.
>
> I want to know if there is any ongoing development project in quantlib
to
> price such instruments? We may think of using
> boost meta-programming for example as a technical solution.
>
> Could you please send me your comments on this topic?

As far as I know, nobody is working on payoff scripting, and this
would be a very worth contribution to QuantLib

ciao -- Nando

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