Quantitative finance research language

Question

I am working on an interpreted quant finance library for rapid prototyping of equity derivatives mostly. I do not have any experience with such languages (I've heard of Goldman-Sach's Slang, but have never seen it).

What sort of functionality is found in such languages, and do they have some unique features which correspond to the financial markets?

Answer 1

Perhaps, every company has something on their own, but there are some materials available on the web ( mainly about DSL-s ):

• Going functional on exotic trades
• Composing contracts: an adventure in financial engineering

As for your own language ( and libraries / runtime! ) - there is not too much to say whithout knowing your requirements ( to name just few, which immediately came to my mind when I started to think about it ):

• Who will use it - sales or traders or quants or all
• How will it be used - just pricing of predefined blocks and/or solving optimization problems. It would lead to an ability to define workflows.
• Interaction with underlying infrastructure and its level of abstractions
• Extensibility ( to what an extent )
• Live calculations or simulation
• I/O support