[Quantlib-dev] PayoffInterpreter: specify new pay-offs and price them without code recompilation

[Klaus S. <kl...@sp...>]

Hi=20

the idea to specify new pay-offs and price them without code recompilation =
by=20
using a script language is floating around for some time.=20

To achieve this goal I used an interpreter for a C / Fortron90 like languag=
e=20
two colleagues and I have written some time ago. As an example I've connect=
ed=20
this interpreter with the MonteCarlo pricing engine.=20

The interpreter itself is running in a "Sandbox" with a C++ interface.=20
Therefore one has full control over the interpreter during the runtime (e.g=
=2E=20
reading/modifiying the variable stack, run self defined functions etc.).

If you are interest in this little project please feel free to download it=
=20
from=20

www.spanderen.de/PayoffInterpreter.zip
or
www.spanderen.de/PayoffInterpreter.tar.gz

Makefiles for Linux/Unix and VC++ are included. My colleagues have given=20
permission to put the interpreter under the Quantlib licence.

=46eedback whether this project is off any use and should be developed furt=
her=20
on are welcome.

cheers

content of the tar ball:
=A0langauge/=A0 =A0: the interpreter incl. Bison/Flex files
=A0math/ =A0 =A0 =A0 : multi dimensional array and index array
=A0util/ =A0 =A0 =A0 : utils
=A0docu/ =A0 =A0 =A0 : html documentation of the language
=A0testsuite/ =A0: small C++ testsuite using the Sandbox
=A0examples/ =A0 : QuantLib MonteCarlo pricer using the PayoffInterpreter
=A0pilib/ =A0 =A0 =A0: PayoffInterpreter example programs and tests
=A0console/ =A0 =A0: simple console for the PayoffInterpreter
=2D-=20
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
Email: kl...@NO... (remove NOSPAM from the address)