What is the best way to deal with missing index fixings?
I would like to load them on demand (from several sources; have some special logic involved). fixing() method throws when a fixing is missing but it does not help me anyhow to remedy the problem and load the missing fixing. How are you dealing with such problem? |
On Sun, 2008-12-07 at 11:25 -0800, snovik wrote:
> What is the best way to deal with missing index fixings? > > How are you dealing with such problem? Brute force. We (as in "we at StatPro") load the whole fixing history. This is ok for us, as we have long-running programs and the overhead of loading everything is negligible. Luigi -- fix, n.,v. What one does when a problem has been reported too many times to be ignored. -- the Jargon file ------------------------------------------------------------------------------ SF.Net email is Sponsored by MIX09, March 18-20, 2009 in Las Vegas, Nevada. The future of the web can't happen without you. Join us at MIX09 to help pave the way to the Next Web now. Learn more and register at http://ad.doubleclick.net/clk;208669438;13503038;i?http://2009.visitmix.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
On Wed, Dec 17, 2008 at 3:42 PM, Luigi Ballabio
<[hidden email]> wrote: > On Sun, 2008-12-07 at 11:25 -0800, snovik wrote: >> What is the best way to deal with missing index fixings? >> >> How are you dealing with such problem? > > Brute force. We (as in "we at StatPro") load the whole fixing history. the same approach is adopted in the QLXL framework, which has been under development in the last couple years and will be released probably next year. ciao -- Nando ------------------------------------------------------------------------------ SF.Net email is Sponsored by MIX09, March 18-20, 2009 in Las Vegas, Nevada. The future of the web can't happen without you. Join us at MIX09 to help pave the way to the Next Web now. Learn more and register at http://ad.doubleclick.net/clk;208669438;13503038;i?http://2009.visitmix.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
In reply to this post by Luigi Ballabio
appreciate it, but unfortunately not my case because it is just a user interface.
no other ideas?
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