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ThetaML

ThetaML is the domain specific language (DSL) which we propose for describing the structural features of models in financial engineering. The ThetaML language is designed to express derivatives and dynamic investment strategies, for the use in pricing, risk management and optimization. Defining and reading financial products in ThetaML is of unprecedented ease and significantly faster than doing the same thing with conventional term sheets.

Complex term sheets are currently the only way to express and communicate the contents of a financial product. The process of turning a term sheet into an evaluating algorithm to get a price is long and error prone. So far, there exists no adequate standard for specifying the structural model of arbitrary financial derivatives. Therefore, Thetaris introduces the definition language ThetaML that allows the specification of strategies in a way that is both intuitive and precise. The language provides access to conditional statistical properties while remaining simple and computable.

A model defined in ThetaML is independent of its algorithmic implementation. Whether an evaluation uses Monte Carlo, PDE methods or even computer algebra does not affect the structural model in ThetaML.

ThetaML models can be represented in two forms, either text-based as ThetaScript or graphically as a flowchart-like Thetagram.