PSL: An Interpretative Programming
Language for Financial Portfolio
Simulation and Manipulation
Alexander Besidski
Xin Li
Jian Huang
Wei-Chen Lee
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
PSL: Overview

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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
PSL: Language Features

Java-like syntax

Less complicated grammar rules

Strongly typed
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OOP Interface
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Script-like programming style
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Intrinsically Expandable
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();
PSL: Tutorial

To declare a Bond, it’s easy.
bond Treasury10Y = new(
Coupon=3.0,
Maturity=10,
InterestRate=5.0
);
Treasury10Y.Name = “Treasury10Y”;
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);
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);
PSL: Tutorial
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
price(t )=price(t -1)  e
(  + 0.5  Z)
PSL: Requirements
Create an Interpreter
 Develop in Java
 Use ANTLR
 Team work

PSL: Development Environment
Eclipse chosen as main Dev platform
 Built in CVS capabilities
 Easy integration with ANTLR
 Automatic builds
 Rapid development and debugging

PSL: Language Components

Frontend
-
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Lexical scanner, Parser, Tree Walker
Interpreter
Symbol table
Wrapper class for primitive & complex types
Backend
– Graphics,Simulation, I/O,Statistics
Testing
 Documentation

PSL: Roles
Xin – Dev
 Jian – Dev
 Peter – QA, Doc
 Alex – Captain, Dev

PSL: Assignments
Primary
Secondary
Xin
Financial Requirements Frontend-Backend
integration
Walker
Jian
Backend
Peter
QA
Doc
Alex
Lexer
Parser
Walker
PSL: Language Structure Dissection
By Value & by Reference semantics
 Control Flow
 Java-style Scoping Rules
 Functions
 Arrays
 Properties and methods for complex
types

PSL: Lessons Learned
Financial jargon info.
 Tools: ANTLR, ECLIPSE+CVS
 Language without ambiguous
 Regression test module

PSL: Conclusion
White paper- production advocating
 LRM- blueprint
 PSL- excellent construction for
extended development
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