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  • #3735

    Hi Team,

    Many thanks for your works and helps. I would like to launch a topic about a scripting language to modeling custom payoffs/products/RiskMeasure etc…

    The final goal is to propose to final user (not developer) the ability to custom the framwork without going coding and releasing step.

    Commercial solutions like Summit or Sophis propose this particular high added value. What do you think about it ?



    Hi Abou,

    Having a generic swap coupon class, that could take a payoff script would be useful and of course would fit in nicely. However we would need some payoff script support, which is not currently in QuantLib, so we would need to use something else (maybe like muparser?).

    Then for pricing a generic script, you would normally use MonteCarlo which would be fine for T0 pricing but in an XVA context it could be quite slow.

    Do you want to start working on this and submit a merge request?


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