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

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

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)
E-Mail: kl...@NO... (remove NOSPAM from the address)