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

[HFQuant <mar...@mo...>]

Hi,=20

i tried to you your tool and running the example EquityOption.cpp. It
compiles but crashes at run time.=20
Did you have such a feedback before ?

thanks


Klaus Spanderen-2 wrote:
>=20
> Hi=20
>=20
> the idea to specify new pay-offs and price them without code recompilatio=
n
> by=20
> using a script language is floating around for some time.=20
>=20
> To achieve this goal I used an interpreter for a C / Fortron90 like
> language=20
> two colleagues and I have written some time ago. As an example I've
> connected=20
> this interpreter with the MonteCarlo pricing engine.=20
>=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.=20
> reading/modifiying the variable stack, run self defined functions etc.).
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> If you are interest in this little project please feel free to download i=
t=20
> from=20
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> www.spanderen.de/PayoffInterpreter.zip
> or
> www.spanderen.de/PayoffInterpreter.tar.gz
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> Makefiles for Linux/Unix and VC++ are included. My colleagues have given=
=20
> permission to put the interpreter under the Quantlib licence.
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> Feedback whether this project is off any use and should be developed
> further=20
> on are welcome.
>=20
> cheers
>=20
> content of the tar ball:
> =C2=A0langauge/=C2=A0 =C2=A0: the interpreter incl. Bison/Flex files
> =C2=A0math/ =C2=A0 =C2=A0 =C2=A0 : multi dimensional array and index arra=
y
> =C2=A0util/ =C2=A0 =C2=A0 =C2=A0 : utils
> =C2=A0docu/ =C2=A0 =C2=A0 =C2=A0 : html documentation of the language
> =C2=A0testsuite/ =C2=A0: small C++ testsuite using the Sandbox
> =C2=A0examples/ =C2=A0 : QuantLib MonteCarlo pricer using the PayoffInter=
preter
> =C2=A0pilib/ =C2=A0 =C2=A0 =C2=A0: PayoffInterpreter example programs and=
 tests
> =C2=A0console/ =C2=A0 =C2=A0: simple console for the PayoffInterpreter
> --=20
> Klaus Spanderen
> Ludwig Erhard Str. 12
> 48734 Reken (Germany)
> Email: kl...@NO... (remove NOSPAM from the address)
>=20
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>=20
>=20

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