Re: [Quantlib-dev] MDRS Support

[Ferdinando M. A. <fer...@am...>]

I vote for separate project in the same repository, as for ObjectHandler
among the others

On Fri, Oct 17, 2014 at 1:02 PM, Peter Caspers <pca...@gm...>
wrote:

> 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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> > --
> > <https://implementingquantlib.blogspot.com>
> > <https://twitter.com/lballabio>
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