Re: [Quantlib-dev] MDRS Support

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

Hi,
   since Murex is not too enthusiastic about this idea (for some
understandable reasons, I think) I guess it is not advisable to start
this as a public project. We could still do it with a ql-proprietary
format and leave MX specific extensions to private projects, but I
don't find that very attractive to be honest. Anyway.
Regards
Peter

On 17 October 2014 21:24, Peter Caspers <pca...@gm...> wrote:
> 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