Re: [Quantlib-dev] Possible sub-project for calendaring ?

[Francois B. <ig...@gm...>]

Hi Dirk,

Thanks for this. I think this is a great idea. In fact, in-house I built
something similar in C# based on a subset of the classes in QLNet.

Is your idea that QuantLib links to this "QLCal" project? I'm  just
wondering about the maintenance of public holiday rules and especially ad
hoc public holidays (like 1 Nov 2021 was recently declared a special public
holiday for election/voting purposes). If both projects have to be
maintained separately there is of course a risk that they diverge, which
could cause some confusion among users.

thanks
Francois Botha


On Tue, 26 Oct 2021 at 21:39, Dirk Eddelbuettel <ed...@de...> wrote:

>
> So a few years ago Peter had this nice idea and trial balloon of
> Quantuccia.
> I jumped on it as the 20 years (!!!) with RQuantLib have clearly shown that
> expecting systems to have the QuantLib library installed is (still) a
> hurdle.
> Quantuccia overcame that by being header-only and depending only on
> header-only Boost. Very nice indeed. So I built RcppQuantuccia around it.
>
> But copies are of course extra effort to maintain, especially when you have
> to do a slight modification in each file (in essence: concat hpp and cpp
> into
> one hpp, prefix each function with inline; a tool _could_ do this). So my
> RcppQuantuccia got stale as Quantuccia got stale.
>
> The recent QuantLib 1.24 updates, new (US) calendaring, and user requests
> for
> extra calendars (that I was not yet exporting) made me take another look.
> And
> consequently I did a few small things over a couple of days:
>
>  - update Quantuccia to QuantLib 1.24, but also remove everything from
>    Quantuccia that was not used in RcppQuantuccia
>  - undo the header-only internal design for the R package and just list the
>    two or three dozen files explicitly as a Make dependency
>  - effectively I created a 'QuantLib Calendaring' sublibrary
>
> This now exists, and is current to 1.24.
>
> And I think that this has merit, possibly beyond RcppQuantuccia.  The
> current
> master branch of github.com/eddelbuettel/rcppquantuccia contains it, take
> a
> look.  I needed to make minimal changes to a few files I need to document,
> in
> essence a) comment out the #pragam statements as CRAN will not let use them
> and b) include the errrors.hpp header in a handful of files.
>
> So five paragraphs in, here is my question: Would anybody else be
> interested
> in a 'QuantLib Calender Lite' library?
>
> One could possibly wrap Python bindings around (though I am unsure what to
> do
> about Boost header and Python), and/or use Swig, and I think it may make
> sense to turn this into a small standalone cmdline app al
>
>     qlcal holidays --calendar UnitedStates --from 2021-10-01 --to
> 2021-10-31
>
> I poked a little at GitHub and qlcal was open to I 'parked this' as an org
> if
> we wanted to put it there.
>
> Thoughts? Anybody else up for this?
>
> Dirk
>
> --
> https://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
>
>
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