quantlib-dev

[Quantlib-dev] Adding a data store

[Keith W. <kei...@gm...>]

Greetings All,

My name is Keith Wood and I currently work as the business development
manager for a little known consulting company based in Frankfurt,
Germany. As part of some business development work that I am currently
doing, I find myself wanting to suggest that someone add the required
functionality  such as would allow users of QuantLib to
Fetch/Process/Store data in a relational database.
I envisage this as being the next step up from QuantLibAddIn where
rather than providing the hooks to a spreadsheet, you get hooked into a
data schema. I was thinking something along the lines of a generic
open-source model that allowed you to "install" a bunch of tables and
"stuff" on your favorite flavor of relational data provider.
I find myself in the somewhat unique position of being able to call upon
the engineering group of Sybase as resources to implement this.

Is there any interest from your side in talking about this further.
If so, who should I be talking to.

Regards
Keith Wood

Re: [Quantlib-dev] Adding a data store

[Luigi B. <lui...@gm...>]

Hi Keith,

On Fri, 2007-03-09 at 22:22 +0100, Keith Wood wrote:
> I find myself wanting to suggest that someone add the required
> functionality  such as would allow users of QuantLib to
> Fetch/Process/Store data in a relational database.
> I find myself in the somewhat unique position of being able to call upon
> the engineering group of Sybase as resources to implement this.

It seems like an offer one can't refuse. 

> Is there any interest from your side in talking about this further.
> If so, who should I be talking to.

Posting to this mailing list is OK---in fact, it's the best place to
discuss the issue. As for me, I'm mostly concerned with the core
library, so I don't have the clearest view of the QuantLibAddin
architecture. But I guess someone with more knowledge in that particular
field (Eric?) will reply shortly.

Later,
	Luigi


---------------------------------------- 

Discontent is the first necessity of progress. 
-- Thomas A. Edison 

Re: [Quantlib-dev] Adding a data store

[eric e. <eri...@gm...>]

Hi Keith,

Many thanks for getting in touch.

Some progress has already been made on a design for extending
QuantLibAddin to support serialization, and my first thought is
whether a common framework could serve as a basis both for
serialization (say for distributed computing) and an RDB store.

Here are the links to the previous discussion on serialization:

http://sourceforge.net/mailarchive/forum.php?thread_id=6507779&forum_id=4300
http://sourceforge.net/mailarchive/forum.php?thread_id=6539684&forum_id=4300
http://sourceforge.net/mailarchive/forum.php?thread_id=6540997&forum_id=4300
http://sourceforge.net/mailarchive/forum.php?thread_id=6543552&forum_id=4300
http://sourceforge.net/mailarchive/forum.php?thread_id=6700844&forum_id=4300

Please also take a look at the Value Objects feature, contributed to
QuantLibAddin by Plamen Neykov.  Each time a QuantLib object is
constructed in ObjectHandler, a Value Object is associated with it,
the VO comprises a snapshot of the inputs to the constructor of the QL
object, and the idea is that VOs would be used as the basis for, say,
reconstituting the same object on another machine.  VOs can be
interrogated with functions ohPropertyNames() and ohPropertyValues().

I'd be interested to hear your reaction to these initial ideas.

Kind Regards,
Eric

On 3/9/07, Keith Wood <kei...@gm...> wrote:
> Greetings All,
>
> My name is Keith Wood and I currently work as the business development
> manager for a little known consulting company based in Frankfurt,
> Germany. As part of some business development work that I am currently
> doing, I find myself wanting to suggest that someone add the required
> functionality  such as would allow users of QuantLib to
> Fetch/Process/Store data in a relational database.
> I envisage this as being the next step up from QuantLibAddIn where
> rather than providing the hooks to a spreadsheet, you get hooked into a
> data schema. I was thinking something along the lines of a generic
> open-source model that allowed you to "install" a bunch of tables and
> "stuff" on your favorite flavor of relational data provider.
> I find myself in the somewhat unique position of being able to call upon
> the engineering group of Sybase as resources to implement this.
>
> Is there any interest from your side in talking about this further.
> If so, who should I be talking to.
>
> Regards
> Keith Wood
>
> -------------------------------------------------------------------------
> Take Surveys. Earn Cash. Influence the Future of IT
> Join SourceForge.net's Techsay panel and you'll get the chance to share your
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> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Adding a data store

[Keith W. <kei...@gm...>]

Hmm, serialisation / data store. I think we might be talking
"differently" here.
Let me deal with the FPML bit first. This might be a little
un-politically correct, but here goes anyway.
I know a number of people who hold senior roles on the FPML committee
for an assortment of different threads.
It is a committee based thing that takes a little time to review stuff,
agree stuff, document stuff and then publish stuff.
Evidence of this is seen in the manner in which the SwapsWire people
have built their own SWML and extended-FPML that deals with things that
are not yet in the published FPML.
There is a similar type of thing being done by the nice people at DTCC
to encapsulate their electronic confirmation matching service called
DerivServ.
The nice people at MarkIT are also working with an extended variant of
the FPML stuff.
At some point this will all converge, but don't hold your breath as by
the time the FPML people catch up, the others will have moved on.

My suggestion had to do with the design and implementation of a data
schema that would enable people who use QuantLib to store stuff in
tables in a relational database. All of the holiday stuff belongs in a
table. All of the day count convention could usefully be stored in a
collection of tables. Having gone to the trouble of getting some market
rates from somewhere, using them to calculate the zero's, strips,
smiles, complicated volatility surfaces and so on for "today's" pricing,
it might be nice to save "stuff" in a relational table (or several).
FPML, SWML and all the other "flavours" that have to do with XML stuff,
lend themselves to being mapped to a collection of relational tables in
a sensible manner. There are already collections of tools that do most
of that for you.

There seems to be a need to apply some assistance to the choice of
which-XML, and this is loosely connected to a similar decision about
which-SQL. I will now take the liberty of talking to the nice people at
Sybase to see just how generous they feel about professional assistance
in this little venture. (No Promises, no commitments, intended as a
feedback thing to test the waters)

I will get back to you shortly.
Regards
Keith

p.s. please feel free in the meantime to bombard me with questions and
or flame me for not being politically correct.


eric ehlers wrote:
> Hi Keith,
>
> Many thanks for getting in touch.
>
> Some progress has already been made on a design for extending
> QuantLibAddin to support serialization, and my first thought is
> whether a common framework could serve as a basis both for
> serialization (say for distributed computing) and an RDB store.
>
> Here are the links to the previous discussion on serialization:
>
> http://sourceforge.net/mailarchive/forum.php?thread_id=6507779&forum_id=4300
>
> http://sourceforge.net/mailarchive/forum.php?thread_id=6539684&forum_id=4300
>
> http://sourceforge.net/mailarchive/forum.php?thread_id=6540997&forum_id=4300
>
> http://sourceforge.net/mailarchive/forum.php?thread_id=6543552&forum_id=4300
>
> http://sourceforge.net/mailarchive/forum.php?thread_id=6700844&forum_id=4300
>
>
> Please also take a look at the Value Objects feature, contributed to
> QuantLibAddin by Plamen Neykov.  Each time a QuantLib object is
> constructed in ObjectHandler, a Value Object is associated with it,
> the VO comprises a snapshot of the inputs to the constructor of the QL
> object, and the idea is that VOs would be used as the basis for, say,
> reconstituting the same object on another machine.  VOs can be
> interrogated with functions ohPropertyNames() and ohPropertyValues().
>
> I'd be interested to hear your reaction to these initial ideas.
>
> Kind Regards,
> Eric
>
> On 3/9/07, Keith Wood <kei...@gm...> wrote:
>> Greetings All,
>>
>> My name is Keith Wood and I currently work as the business development
>> manager for a little known consulting company based in Frankfurt,
>> Germany. As part of some business development work that I am currently
>> doing, I find myself wanting to suggest that someone add the required
>> functionality  such as would allow users of QuantLib to
>> Fetch/Process/Store data in a relational database.
>> I envisage this as being the next step up from QuantLibAddIn where
>> rather than providing the hooks to a spreadsheet, you get hooked into a
>> data schema. I was thinking something along the lines of a generic
>> open-source model that allowed you to "install" a bunch of tables and
>> "stuff" on your favorite flavor of relational data provider.
>> I find myself in the somewhat unique position of being able to call upon
>> the engineering group of Sybase as resources to implement this.
>>
>> Is there any interest from your side in talking about this further.
>> If so, who should I be talking to.
>>
>> Regards
>> Keith Wood
>>
>> -------------------------------------------------------------------------
>>
>> Take Surveys. Earn Cash. Influence the Future of IT
>> Join SourceForge.net's Techsay panel and you'll get the chance to
>> share your
>> opinions on IT & business topics through brief surveys-and earn cash
>> http://www.techsay.com/default.php?page=join.php&p=sourceforge&CID=DEVDEV
>>
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>

Re: [Quantlib-dev] Adding a data store

[eric e. <eri...@gm...>]

Hi Keith,

That's an impressive summary of the resources available to you for
your project, both in terms of the data and the potential support from
Sybase.

> Hmm, serialisation / data store. I think we might be talking
> "differently" here.

I accept that serialisation and data store are separate undertakings,
I'm just thinking that as we tackle data store we should keep in mind
the design for serialisation, in case the two projects have some
common building blocks.  If we get into the details and find that the
two projects have zero in common, then so be it.  I suspect we'll find
there's some overlap.

> Let me deal with the FPML bit first. This might be a little
> un-politically correct, but here goes anyway.
> I know a number of people who hold senior roles on the FPML committee
> for an assortment of different threads.
> It is a committee based thing that takes a little time to review stuff,
> agree stuff, document stuff and then publish stuff.
> Evidence of this is seen in the manner in which the SwapsWire people
> have built their own SWML and extended-FPML that deals with things that
> are not yet in the published FPML.
> There is a similar type of thing being done by the nice people at DTCC
> to encapsulate their electronic confirmation matching service called
> DerivServ.
> The nice people at MarkIT are also working with an extended variant of
> the FPML stuff.
> At some point this will all converge, but don't hold your breath as by
> the time the FPML people catch up, the others will have moved on.

Interesting story, I had no idea the whole process was so fraught.

When it comes time to move into FpML, I wouldn't lose sleep over the
implementation details, I'd just do whatever seems most sensible at
the time, with the option to adjust later as things evolve.

> I will now take the liberty of talking to the nice people at
> Sybase to see just how generous they feel about professional assistance
> in this little venture. (No Promises, no commitments, intended as a
> feedback thing to test the waters)

Sounds good, please keep me posted and let me know if there's anything
I can do to help.

Regards,
Eric

Re: [Quantlib-dev] Adding a data store

[Luigi B. <lui...@gm...>]

On Mar 13, 2007, at 7:58 PM, Keith Wood wrote:
> My suggestion had to do with the design and implementation of a data
> schema that would enable people who use QuantLib to store stuff in
> tables in a relational database. All of the holiday stuff belongs in a
> table. All of the day count convention could usefully be stored in a
> collection of tables.

I'm not sure that I follow here. I can see that the definition of, say, 
an equity option (exercise date, strike...) can be stored in a table. A 
calendar I might see---even though our calendars are not a collection 
of holidays, but rather a collection of rules such as "the third Monday 
in September" or "May 1st unless it's a Sunday, in which case the 
following Monday is a holiday instead". But a day-count convention is 
basically an algorithm. I might just have misinterpreted you, but how 
are you going to store them?

Later,
	Luigi