Re: [Quantlib-users] XML or JSON interface

[Philippe H. <phi...@ex...>]

You may want to  look into ORE (Quaternion) which is an open source QL
extension.
They use XML for certain aspects of the trilogy of mkt data+transaction
data+static data.

Philippe Hatstadt


On Sun, Sep 20, 2020 at 5:25 PM Jean-Philippe Guichard (
jph...@gm...) <jph...@gm...> wrote:

> Hello,
>
> I am quite new to quantlib and I was wondering if there was a xml
> interface of quantlib to describe the market data, payoffs, models for each
> underlier, pricing methodology, pricing command ?
>
> With this xml description (or json), Quantlib would be able to read the
> xml and finds all the information needed to:
> - book the payoff
> - associate the pricing engine to each payoff
> - associate the stochastic process to the underlier
> - set the fixing
> - calibrate the curve
> - calibrate the model
> and I would only need to modify in a text editor the xml file [changing
> the underlying level, the volatility, the payoff] to see the results
> instead of having to go through the quite complex cpp implementation of
> quantlib.
>
> Best,
> Jean-Philippe
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