[Quantlib-dev] Quantlib for bitcoin derivatives

[Joseph W. <joe...@gm...>]

Hi all,

I've started up an operation here in Hong Kong trading bitcoin
derivatives, and it look like that I'll need to make some additions to
QuantLib.  Here is just a list of features that it looks I need off
the top of my head.  I'll be adding them, but i didn't want to
reinvent the wheel and it's be interested in design issues.

1) classes for XBT and XLT.  This seems pretty straight forward
2) classes for intraday calculations.  The issue with XBT is that most
of the options are short dated which means that one day is too much
granularity.  I'll need a timestamp class.
3) The other problem is that most calculations seem to be done by year
as the base unit.  With XBT it makes more sense to calculate by day

Also, there might be some need for an "exchange" class to track
exchanges since I'm doing arb trades.  A "wallet" class might also be
useful, but at that point this seems like something that would be
better done outside of QuantLib.

Thoughts?