Re: [Quantlib-dev] MDRS Support

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

For a start I "only" thought of market data plus metadata to generate
corresponding termstructures. I guess I should first ask Murex to
confirm that it is ok to publish a parser for their xml under the ql
license and maybe put sample files in that format in the repository.
As soon as I have their permission I will send an initial commit (i.e.
a PR to Luigi) as a basis for further discussions.


On 17 October 2014 18:25,  <ja...@fr...> wrote:
> 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
>>
>
> ------------------------------------------------------------------------------
> 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