A framework for building a flexible payoff language
We present a framework for building a flexible payoff language and linking it to the pricing kernel. The code needed for this task is in fact very short, shows good performance and is included in this presentation.
Most major investment banks have discovered that almost all pricing algorithms allow to price fairly general payoffs. Those payoffs are then described by some sort of scripting language which is parsed and generically linked to the front-office system via an interpreter. The implementation of a parser/interpreter and connecting it to the pricing kernel is considered to be rather involved. Indeed, designing a well-defined general purpose programming language and implementing the parser are non- trivial tasks. In the present paper we show that it is in fact quite simple to realize a flexible payoff language using a programming language as a scripting language.