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 ...
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 i...
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 mathema...
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 ...
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...