Re: [Quantlib-dev] MDRS Support

[Peter C. <pca...@gm...>]

Hi Luigi,

alright. That would mean a separate project on the level QuantLib,
QuantLibAddinn QuantLib-SWIG etc. ? Or a separate repository ?

Thanks
Peter

On 17 October 2014 12:00, Luigi Ballabio <lui...@gm...> wrote:
> Hi Peter,
>     apologies for the delay. Personally, I feel that it would be
> useful but as a separate module.
>
> Later,
>     Luigi
>
>
> On Fri, Oct 3, 2014 at 8:31 PM, Peter Caspers <pca...@gm...> wrote:
>> Hi,
>>
>> I am wondering if we want support classes in the core library to
>> interface commercial systems' market data and termstructures.
>> Specifically I am thinking about Murex which has a standardized XML
>> interface to export and import virtually all kind of market data
>> across all market data sets in its financial database.
>>
>> The first step would be a class that represents the contents of such a
>> file and providing easy access to its market data points (in a more
>> user friendly way than a "stupid" general XML parser could do). To
>> keep the dependencies simple, I'd rely on RapidXML as the XML parser
>> for this part.
>>
>> A second layer built on that would provide functionality to create
>> quantlib termstructures populated with that market data, based on meta
>> data (instruments in a curve, their conventions etc.) provided in
>> additional specification files (where parts of the necessary meta data
>> is even available in the Mx export and could - optionally - taken from
>> there). The other direction - create a MDRS file based on quantlib
>> termstructure objects that can be uploaded to Murex - can also be
>> interesting for certain applications.
>>
>> All that should be done on an abstract level with specific
>> implementations for different source systems, of which one beneath
>> Murex MDRS could also be a simple "quantlib-proprietary" one, which
>> would allow to share reference / test market data and meta data for
>> associated concrete termstructure objects.
>>
>> I am quite sure that this is both doable and useful (because I have
>> done parts of it and use it in my daily work). However it is some work
>> to set up the framework in a clean way and maintain it, for several
>> MDRS versions (some details sometimes change from release to release,
>> but the general structure seems stable).
>>
>> So my questions are
>>
>> - does that belong into the core library, like under ql / io / ... (
>> well, for a start under ql / experimental / io / ... ;-) )
>> - anyone else that would be interested in that functionality and maybe
>> willing to contribute to such a development ?
>> - maybe other systems that could be of interest (maybe the MarkIt CDS
>> market data files ?)
>>
>> Thanks a lot
>> Peter
>>
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