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Quantitative Finance · Glossário

O que é Payoff scripting language, payoff script?

Também chamado de: payoff scripting language · payoff script

Definition 19.3 Research, Data and Risk Platforms · Capítulo 19 — Pricing-Library Architecture

A payoff scripting language is a small programming language in which a product’s cash flows are written as events on observation dates — conditions on the path, payments, state carried from date to date — and evaluated by a generic engine on simulated paths. A payoff script is one product written in it: data that the library prices, not code that it must be extended with.

From a script to a price: the tokenizer and the parser build the tree, the schedule is read from its blocks, and either evaluator runs the tree on the library’s paths for the schedule’s dates.
Figure 19.2. From a script to a price: the tokenizer and the parser build the tree, the schedule is read from its blocks, and either evaluator runs the tree on the library’s paths for the schedule’s dates.
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