Hello

[Erik Radmall]

I would like to contribute to Quantlib... Would like to contribute  
linear pricers for commodities, specifically oil. Have code that  
handles commodity forward curves and prices correctly for oil fixed  
and basis xccy swaps (have ccy discount factors for xccy swaps) and  
oil futures, including nearby contracts.  This domain knowledge is  
extremely rare and I have the masters in this from Morgan Stanley  
and Goldman who taught me me this. Also, must understand that pricing  
commodities like oil requires a complete unit of measure conversion  
system, which I would like to offer, so deals price correctly based  
on API and BBL->MT conversions. This commodities pricing library  
prices every deal to the penny at Lehman, my former employer. They  
don't want the code (I offered them). Is it possible to add to the  
QuantlLib library?


















-------------------------------------------------------------------------
This SF.net email is sponsored by: Splunk Inc.
Still grepping through log files to find problems?  Stop.
Now Search log events and configuration files using AJAX and a browser.
Download your FREE copy of Splunk now >>  http://get.splunk.com/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

On Mon, 2007-09-03 at 03:42 +0800, Erik Radmall wrote:

> I would like to contribute to Quantlib... Would like to contribute  
> linear pricers for commodities, specifically oil. Have code that  
> handles commodity forward curves and prices correctly for oil fixed  
> and basis xccy swaps (have ccy discount factors for xccy swaps) and  
> oil futures, including nearby contracts.  This domain knowledge is  
> extremely rare and I have the masters in this from Morgan Stanley  
> and Goldman who taught me me this. Also, must understand that pricing  
> commodities like oil requires a complete unit of measure conversion  
> system, which I would like to offer, so deals price correctly based  
> on API and BBL->MT conversions. This commodities pricing library  
> prices every deal to the penny at Lehman, my former employer. They  
> don't want the code (I offered them). Is it possible to add to the  
> QuantlLib library?

Hi Erik,
        I'd be glad to include the code in QuantLib. We might need some
paperwork, though. Please contact me directly so that we can try and
sort the thing out.

Thanks,
        Luigi


--

Skinner's Constant (or Flannagan's Finagling Factor):
That quantity which, when multiplied by, divided by, added to,
or subtracted from the answer you got, gives you the answer you
should have gotten.



-------------------------------------------------------------------------
This SF.net email is sponsored by: Splunk Inc.
Still grepping through log files to find problems?  Stop.
Now Search log events and configuration files using AJAX and a browser.
Download your FREE copy of Splunk now >>  http://get.splunk.com/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Ferdinando M. Ametrano-3]

Hi Erik

thank you for the kind offer.
Do you own the copyright? if you developed this code for your past
employers they probably own the copyright, not you. Can you
demonstrate you own the copyright?

I do not want to sound picky, but copyright issues are very very
sensitive issues...

have you considered re-writing the library? I guess that in any case
you will need to do some coding in order to merge it in QuantLib...

ciao -- Nando

On 9/2/07, Erik Radmall <[hidden email]> wrote:

>
> I would like to contribute to Quantlib... Would like to contribute
> linear pricers for commodities, specifically oil. Have code that
> handles commodity forward curves and prices correctly for oil fixed
> and basis xccy swaps (have ccy discount factors for xccy swaps) and
> oil futures, including nearby contracts.  This domain knowledge is
> extremely rare and I have the masters in this from Morgan Stanley
> and Goldman who taught me me this. Also, must understand that pricing
> commodities like oil requires a complete unit of measure conversion
> system, which I would like to offer, so deals price correctly based
> on API and BBL->MT conversions. This commodities pricing library
> prices every deal to the penny at Lehman, my former employer. They
> don't want the code (I offered them). Is it possible to add to the
> QuantlLib library?
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Splunk Inc.
> Still grepping through log files to find problems?  Stop.
> Now Search log events and configuration files using AJAX and a browser.
> Download your FREE copy of Splunk now >>  http://get.splunk.com/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

-------------------------------------------------------------------------
This SF.net email is sponsored by: Splunk Inc.
Still grepping through log files to find problems?  Stop.
Now Search log events and configuration files using AJAX and a browser.
Download your FREE copy of Splunk now >>  http://get.splunk.com/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users