Re: [Quantlib-dev] MDRS Support

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

Ok sorry you wanted to cover market data...
On Oct 24, 2014 8:42 PM, "Ferdinando M. Ametrano" <fer...@am...>
wrote:

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