Regarding 2., there's direct relevance with
which is a proposal for embedding pricing technique info (e.g. calibration method, MC versus lattice based valuation methods, etc.), relevant model inputs (e.g. reference rates and market environment), and even risk reporting into FPML.
Since FPML provides a pretty complete list of derivative products and their relevant features, FPML would also be a natural choice for developing a framework for a general bond/derivative calculator whereby underneath, each standard FPML product is mapped to a pricing module built on QuantLib.
Hi,
I'm reasonable new to the quantitative arena and have started taking a
look at the Quantlib software. I have a couple of questions about
Quantlib hopefully someone can help with.
1. The links to the C# projects on the front page seem to be dead. Is
this project abandoned?
2. FpML is mentioned, but I'm a bit unclear (excuse my ignorance) of
how this would interact with pricing/modeling system such as Quantlib.
3. Is Quantlib used much with messaging protocols such FIX?
Any help would be appreciated.
regards
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