Re: [Quantlib-users] QuantLib-users Digest, Vol 212, Issue 18

[Michael K. <mk...@ya...>]

Hi Ben,

I utilize the following approach to serialize JSON to and from QuantLib calls; however, this process relies on the QuantLibAddinCpp-Old interface. By using the GenSrc package, I create serializable Python classes and C++ classes to make QuantLibAddin interface calls. This approach enables me to serialize JSON to C++/QuantLibAddin and build REST services that invoke QuantLib.

Project - ql_rest:
https://github.com/mkipnis/ql_rest

QuantLibAddin - OLD
https://github.com/eehlers/QuantLibAddin-Old

GenSrc - https://github.com/eehlers/QuantLibAddin-Old/tree/master/gensrc

Example of the generated serializable Python file:
https://github.com/mkipnis/ql_rest/blob/master/qlrest/python_package/src/ql_rest/vanillaswap.py

Example of the generated C++ file that de-serializes JSON to QuantLibAddin calls:
https://github.com/mkipnis/ql_rest/blob/master/qlrest/vanillaswap_reader.cpp

Use cases:

Pricing of US Government bonds over the REST-API :
https://github.com/mkipnis/ql_rest/tree/master/Examples/bond_pricer
https://ustreasuries.online <https://ustreasuries.online/>

Pricing options from the React front-end through the Django proxy: 
https://github.com/mkipnis/ql_rest/tree/master/Examples/options_monitor
https://www.greeksandvols.com

Hope this helps,
Mike



> On Jan 26, 2024, at 7:21 AM, qua...@li... wrote:
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>   1. Re: [Quantlib-dev] Serialization of Quantlib in Python
>      (Luigi Ballabio)
> 
> From: Luigi Ballabio <lui...@gm...>
> Subject: Re: [Quantlib-users] [Quantlib-dev] Serialization of Quantlib in Python
> Date: January 25, 2024 at 10:27:59 AM EST
> To: Ben Watson <ben...@ma...>
> Cc: QuantLib users <qua...@li...>, QuantLib developers <qua...@li...>, QuantLib announce <qua...@li...>
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> 
> Hello Ben,
>     no, as you guessed there's no serializer in C++.
> 
> Best,
>     Luigi
> 
> 
> On Tue, Jan 23, 2024 at 8:21 AM Ben Watson <ben...@ma... <mailto:ben...@ma...>> wrote:
>> I probably know the answer to this already, but I have a number of use cases to serialise Quantlib objects. I do know that it is possible with QuantlibXL. But I have not see anything viable for python. Is there a C++ serialiser? If so is there any possibility to port it to Python?
>> 
>> I am working on an interface to Quantlib will have all of the parameters in JSON and can easily reconstruct the objects, but this is just parameter serialization.  Ideally having full object serialization would be the go.
>> 
>> Regards
>> 
>> Ben
>> 
>>  
>> 
>>  
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