compiling cobol without jcl

Jcl is essential part of mvs os since it does every thing including compilation and execution of programs . But once i faced a interview question as How can you compile a cobol without jcl .I never think that there is any hope to compile cobol without jcl but after several searches i foundout that there is a ISPF option called Fore ground wich does that work for us
Also in the ibmmainframes forum one senior member told me that we can write our own REXX program to do that function ,since i am unfamilier with REXX i dont know how to do that
hope you will know that , if that is the case please inform me