Re: [Quantlib-dev] Market Models, TODOs, scripting

[Roland L. <rol...@go...>]

Hi Peter,
I had not seen muParser so far, will check it out. The MIT license seems to
me compatible with QuantLib's.
Thanks for this interesting hint!
Roland

On 11/19/06, Piter Dias <pit...@ma...> wrote:
>
> Guys,
>
> Roland=B4s idea is very interesting. I used myself a math expression pars=
er
> (Warp=B4s one) when I worked to Algorithmics in order to make a Balance
> Sheet
> simulator for some clients (pension funds).
>
> If you want the idea, could you please check this link
> http://muparser.sourceforge.net/mup_license.html in order to see if the
> license is in line with QuantLib?
>
> I know I can always use it myself while coding, but I think a standard wa=
t
> inside QuantLib would be better.
>
> Regards.
>
> ---- Mensagem Original ----
> From: "RolandLichters"<rol...@go...>
> To: "quantlib-dev"<qua...@li...>
> Sent: Dom, Novembro 19, 2006 5:23 pm
> Subject: [Quantlib-dev]MarketModels,TODOs,scripting
>
> Hello Market Model team,
>
> I have read the TODOs in the Market Models section and saw the item on
> scripting, specify new payoffs "without code recompilation".
>
> I am not sure whether this helps in this exercise - I came across a
> free/open mathematical expression parser written by Yann Ollivier
> (http://www.eleves.ens.fr/home/ollivier), wrapped and  used it with
> some minor extensions so that it understands max, min, step functions
> in addition to the bulk that Yann had already coded. For example, I
> evaluate formulas as follows:
>
> ...
>
> #define LENGTH(a) (sizeof(a)/sizeof(a[0]))
>
> string name[]  =3D { "a", "b", "c" };
> double value[] =3D {  1,   2,   3 };
>
> string formula =3D "sqrt (max (step(5a-10) + min(3b, 4c), 0)) * 15";
>
> vector<string> variableNames;
> vector<double> variableValues;
> for (int i =3D 0; i < LENGTH(name); i++) {
>    variableNames.push_back(name[i]);
>    variableValues.push_back(value[i]);
> }
>
> Formula form (formula, variableNames, variableValues);
>
> cout << "formula =3D " << formula << " =3D " << form.eval() << endl;
>
> ... and changing the variableValue vector after creating the formula
> object allows revaluing the formula with the amended variable input,
> calling form.eval() again. That might be useful, not only for the
> Market Models.
>
> Yann's license is currently not compatible with the QuantLib license,
> as far as I understand - he does not allow selling the code unless one
> contacts him. Maybe he is willing to change the license if you are
> interested in including his code or a modified version of it in the
> library?
>
> Regards,
> Roland
>
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