PSL: An Interpretative Programming Language for Financial Portfolio Simulation and Manipulation

1. PSL: An Interpretative Programming Language for Financial Portfolio Simulation and Manipulation Alexander Besidski Xin Li Jian Huang Wei-Chen Lee

2. PSL: Motivation Bridge the Gap between • Expanding Financial Market (Despite the crash of .COM’s in NASDAQ index in 2001 … ) • Exploding amount of daily generated financial data from trading front desks and the imperative call for automatic trading systems • Modularization and regulation of the financial securities: stock, bond, mortgages, mutual fund, hedge fund… And • Complexity in existing business software solutions and limited flexibility they provide to external users • Growing size of inexperienced investors and business software users who yet need to manipulate and analyze financial securities • Growing size of newly trained financial engineers and MBA’s who knows nothing or even feel horrified about programming in C++ and Java yet need to perform “quant” jobs in investment banking

3. PSL: Overview • A Finance Oriented Programming Language • Common features as most other popular programming languages (types, functions, calculation, control flows, I/O, … ) • Built-in Support for Manipulation of Financial Securities (stock & bond) and Portfolios • Simulation and Analytical Tools for Financial Instruments • Visualization and Computation based on Financial Data

4. PSL: Language Features • Java-like syntax • Less complicated grammar rules • Strongly typed • OOP Interface • Script-like programming style • Intrinsically Expandable

5. PSL: Tutorial • To declare a stock stock google = new (Price=150.0); • To specify its attributions google.Name=”GOOGLE” google.Return = 5; google.Volatility = 30; • Print our its price google.Price.print();

6. PSL: Tutorial • To declare a Bond, it’s easy. bond Treasury10Y = new( Coupon=3.0, Maturity=10, InterestRate=5.0 ); Treasury10Y.Name = “Treasury10Y”;

7. PSL: Tutorial • To Declare a portfolio portfolio pf = new(Capital=3000.0); • Set the assets pf.addStock(google, 20); pf.addBond(Treasury10Y, 5); pf.addStock(IBM, 8); pf.addStock(google, 16); pf.addCapital(1000.0);

8. PSL: Tutorial • Show the final total asset value pf.printContent(); • Then Simulate the portfolio’s performance and show them in a chart ("Simulate the portfolio:").print(); pf.simulate(50);

9. PSL: Tutorial

10. PSL: Geometric Brownian Motion • Geometric Brownian Motion is a model to simulate the behavior of prices of stocks or other commodities. • The transition from the price at one time to the next is

11. PSL: Requirements • Create an Interpreter • Develop in Java • Use ANTLR • Team work

12. PSL: Development Environment • Eclipse chosen as main Dev platform • Built in CVS capabilities • Easy integration with ANTLR • Automatic builds • Rapid development and debugging

13. PSL: Language Components • Frontend - Lexical scanner, Parser, Tree Walker - Interpreter - Symbol table - Wrapper class for primitive & complex types • Backend • Graphics,Simulation, I/O,Statistics • Testing • Documentation

14. PSL: Roles • Xin – Dev • Jian – Dev • Peter – QA, Doc • Alex – Captain, Dev

15. PSL: Assignments

16. PSL: Language Structure Dissection • By Value & by Reference semantics • Control Flow • Java-style Scoping Rules • Functions • Arrays • Properties and methods for complex types

17. PSL: Lessons Learned • Financial jargon info. • Tools: ANTLR, ECLIPSE+CVS • Language without ambiguous • Regression test module

18. PSL: Conclusion • White paper- production advocating • LRM- blueprint • PSL- excellent construction for extended development