2023-10-23
With the release of Vdom 0.3, OCaml developers now have access to a powerful new feature: Elm-like d...
2023-06-21
On June 19, 2023, it was announced that the OCaml project received the 2023 ACM SIGPLAN Programming ...
2023-03-02
Between May and August 2022, Uma Kothuri from the US interned with us at LexiFi and worked on adding...
2022-08-31
In this note we discuss how structured products are represented inside LexiFi’s technological stack....
2022-05-31
When pricing structured products or derivatives, there are many aspects to consider. Models and quan...
2022-03-31
LexiFi contributes to open-source efforts in the OCaml community.
2022-02-16
When a client is ready to place a trade, financial institutions are required to ensure the trade is ...
2021-11-30
The Model Risk notion has been around for many years now; yet, it remains particularly complex to qu...
2021-08-02
What makes a structured product complex? There is no standard definition of perceived or real comple...
2021-06-09
Hagan’s adjusters [Hag02] improve the pricing of financial products, even with the simplest models,...
2021-06-02
It is important to automate “middle-office” processing to keep operational costs and risks under con...
2021-03-30
This post is about our use of OCaml inside LexiFi and how we managed a large refactoring of our code...
2019-12-12
Consider a sequence of $n$ numbers and imagine you need to compute the maximum of all adjacent sub-s...
2016-04-14
Financial modeling with jump processes is a fully explored domain. We present in this post some of t...
This post describes how unboxing for float values works in OCaml, focusing on recent evolutions. Mos...
2015-08-31
Building the (zero-coupon) yield curve is the first step in most of the financial modeling problems....
2015-04-27
LexiFi is currently experimenting with the js_of_ocaml compiler in order to create some browser-side...
2015-01-18
This post is about the special representation that OCaml uses for arrays of floating point values. M...
2014-07-23
The release of OCaml 4.02 is approaching and amongst many other new stuff, it will include the work ...
2014-04-10
I’d like to introduce a new language feature, inlined record arguments on constructors, which I prop...
2013-09-27
Classical equity models don’t handle very well dividends, in particular constant ones. We present in...
2013-06-14
The “O” part of OCaml is not very popular amongst OCaml developers and many of them explain (with so...
Being lazy is sometimes good, especially if you don’t have to work too hard to be lazy.
2013-01-11
In this post, I propose Static Exceptions as a new language feature allowing programmers to express ...
2013-01-09
Poisson distribution is a classical distribution that often appears in mathematical finance, like in...
2012-11-28
The goal is to display the following to stdout: (0,0) (1,1) (2,2) … (1000000,1000000). ...
2012-11-27
Most languages provide some way to manipulate tuples of values with a proper label for each field. T...
2012-08-31
Partial Differential Equation (PDE) solving is an important part of numerical analysis in mathematic...
2012-06-29
In a previous post, I’ve described a proposal on how to get rid of Camlp4 to write simple syntax ext...
2012-06-15
As my first subject (and the first subject on LexiFi’s quantitative blog), I would like to focus on ...
2011-12-08
It is often useful to get access to types at runtime, in order to implement generic type-driven oper...
2011-04-20
In this post, I’d like to propose a new approach to extending the syntax of OCaml that does not depe...
2011-04-08
A little teaser for OCaml gurus: what does the function below do?
2010-12-28
In OCaml, generic functions like comparison and hashing are quite useful but not very flexible. In t...
2010-12-02
Thanks to an ongoing work by Jacques Le Normand, there is some hope to see Generalized Algebraic Dat...
This is a follow-up on yesterday’s post about implicit values. With five more lines added to the bra...
2010-12-01
In this post, I’ll not describe an existing extension to OCaml that we use at LexiFi, but rather som...
2010-11-25
OCaml is a very important language at LexiFi. We use it as our primary internal development language...