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Re: [Quantlib-dev] MDRS Support
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From: <ja...@fr...> - 2014-10-17 16:25:14
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Forgot this thread, seems useful a lot of work and a way to *leverage* (uh, sorry) the library. Is it possible to have QL talk FPML only and have translation modules in between? I am not sure they cover equivalent problems/data items; Like, an instrument position, and engine, or a data set. Or it would be dealing only with data? ----- Original Message ----- > I'm agnostic. Lately we have been moving (in practice, if not in > explicit purpose) towards separating the modules: I've been making > releases from my clone of the repository and Eric has been making > releases from his. I'm not against using the same repo, but it > doesn't > give anything more than what you get from different repos (other than > the convenience of cloning just once, and that can be seen as the > *in*convenience of having to clone everything). > > So I'm bailing out. No vote either way :) > > > On Fri, Oct 17, 2014 at 3:03 PM, Ferdinando M. Ametrano > <fer...@am...> wrote: > > 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 > >> >> > >> >> > >> >> ------------------------------------------------------------------------------ > >> >> Meet PCI DSS 3.0 Compliance Requirements with EventLog Analyzer > >> >> Achieve PCI DSS 3.0 Compliant Status with Out-of-the-box PCI > >> >> DSS > >> >> Reports > >> >> Are you Audit-Ready for PCI DSS 3.0 Compliance? Download White > >> >> paper > >> >> Comply to PCI DSS 3.0 Requirement 10 and 11.5 with EventLog > >> >> Analyzer > >> >> > >> >> http://pubads.g.doubleclick.net/gampad/clk?id=154622311&iu=/4140/ostg.clktrk > >> >> _______________________________________________ > >> >> QuantLib-dev mailing list > >> >> Qua...@li... > >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > >> > > >> > > >> > > >> > -- > >> > <https://implementingquantlib.blogspot.com> > >> > <https://twitter.com/lballabio> > >> > >> > >> ------------------------------------------------------------------------------ > >> Comprehensive Server Monitoring with Site24x7. > >> Monitor 10 servers for $9/Month. > >> Get alerted through email, SMS, voice calls or mobile push > >> notifications. > >> Take corrective actions from your mobile device. > >> http://p.sf.net/sfu/Zoho > >> _______________________________________________ > >> QuantLib-dev mailing list > >> Qua...@li... > >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > > > > > -- > <https://implementingquantlib.blogspot.com> > <https://twitter.com/lballabio> > > ------------------------------------------------------------------------------ > Comprehensive Server Monitoring with Site24x7. > Monitor 10 servers for $9/Month. > Get alerted through email, SMS, voice calls or mobile push > notifications. > Take corrective actions from your mobile device. > http://p.sf.net/sfu/Zoho > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
