Many users asked for the introduction of function call into ThetaML. Since today, we provide a test release of Theta Suite version 2.4 together with the new function syntax. Besides the usual function concept, ThetaML functions also support function handles and partial evaluation with model time sensitive default values for some parameters. You will be surprised how much this can simplify your coding.
Now, you can implement e.g. a function with the following interface
and include an additional parameter (strike) in the function definition
function callPayoff implements iPayoff
value = max(0, spot - strike)
and use the function as of it would be implementing iPayoff with "_" as spot and "100" as strike.
type f : function iPayoff
f = callPayoff( _ , 100)
Now, evaluate the function at sport = 100:
myPayoff = f(123)
Drop us a line to support(at)thetaris.com from testing the new release.
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