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In the COBOL program using REXX can we expand the copybooks then and there instead of going to coybook-library and look for it there?
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Do you mean have the COBOL program call a REXX program to expand the copy books for the compile? If so, then the answer is a resounding NO! The COBOL program has to be compiled and the copy books are expanded during the compile. The program CANNOT call a REXX subprogram until it is executing, which CANNOT in turn occur until the COBOL program has been compiled and linkage edited / bound.
You could PROBABLY write a REXX program to take the source before the compile and expand the copy books, but the question is ... WHY? The compiler does that for you automatically, so why spend the resources to create something you already have?