Re: [Quantlib-dev] MDRS Support

SourceForge Headquarters 1320 Columbia Street Suite 310 San Diego, CA 92101 +1 (858) 422-6466

tackle Fplm and leave mxml as student exercise. Is mxml schema copyrighted?
 On Oct 24, 2014 8:23 PM, "Peter Caspers" <pca...@gm...> wrote:

> 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
>