[Quantlib-dev] FpML integration - some thoughts

[Jens T. <jen...@st...>]

Hi all,

I had some thoughts over FpML integration and would like to make my ideas
available for discussion:

FpML is a more product/business-oriented representation, whereas QuantLib
has its (current) strengths on the calculation side. Separating the business
rules from the calculation may even be favourable, so I would suggest to
define an XML schema solely for calculating and returning results: QML. On
top of that, we can re-implement the existing calculation engines and
validators.

This would allow us to write a very transparent and generic FpML (or
'structured product') to QML translation, where all business rule related
conversions and data access are handled by a separate layer. At the same
time, QML can also serve as a well-defined non-binary interface to QuantLib.

If you see any problems with this approach, or have further suggestions:
your feedback is always welcome!

Regards,

Jens.