I looking for any papers that may be in the public domain on the subject of generic monte carlo engines, that is either smart engines into which one can plug new products using some sort of object oriented discipline, or better still engines capable of parsing scripted payoffs within the limits of a domain specific payoff language.I know this sort of thing is done all over the city on a prioprietary basis, and the likes of Sunguard & Scicomp peddle implementations, but I have found only one "paper" as such, see hereCould anyone provide other references?

Hi patch,Dr. Joerg Kienitz and I have finished a manuscript on this MC/C++ framework. Here is the TOCMC_C++It is extendible/customisable using OOP and GP along with system and design patterns.In this version we do not have support for payoff languages as such due to space (27 chapters!) but this is an option we are looking into at some stage.

Thanks. I am certainly looking forward to reading the book although amazon have it down as releasing in jan 09.... I shall probably have to read it retrospective to what I'm doing.

QuoteOriginally posted by: patch22Thanks. I am certainly looking forward to reading the book although amazon have it down as releasing in jan 09.... I shall probably have to read it retrospective to what I'm doing.Jan 09 is an upper time limit. But the productin process has to take its run. (btw it will be more than 352 pages!)What is your strategy? UML modelling, boost, STL?

I am investigating the viability of using the compiler API in .NET to get very simply from scripted payoffs to payoff functors that could be plugged into a .NET based MC engine. So I am curious to see if anyone else has done this because every MC engine I have seen to date has used C++ and either another language or a parsing library to achieve similar ends.

QuoteOriginally posted by: patch22I looking for any papers that may be in the public domain on the subject of generic monte carlo engines, that is either smart engines into which one can plug new products using some sort of object oriented discipline, or better still engines capable of parsing scripted payoffs within the limits of a domain specific payoff language.I know this sort of thing is done all over the city on a prioprietary basis, and the likes of Sunguard & Scicomp peddle implementations, but I have found only one "paper" as such, see hereCould anyone provide other references?"Theta Suite" from Thetaris GmbH is a generic Monte Carlo simulation engine that one can easily create new products and is capable of parsing scripted payoffs. Its scripting language ThetaML is a domain specific payoff language. Here is the web link of a technical brief for the payoff language ThetaML:http://www.thetaris.com/wiki/Downloads# ... n_Language