MDRS Support
Locked
 
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Hi,
I am wondering if we want support classes in the core library to interface commercial systems' market data and termstructures. Specifically I am thinking about Murex which has a standardized XML interface to export and import virtually all kind of market data across all market data sets in its financial database. The first step would be a class that represents the contents of such a file and providing easy access to its market data points (in a more user friendly way than a "stupid" general XML parser could do). To keep the dependencies simple, I'd rely on RapidXML as the XML parser for this part. A second layer built on that would provide functionality to create quantlib termstructures populated with that market data, based on meta data (instruments in a curve, their conventions etc.) provided in additional specification files (where parts of the necessary meta data is even available in the Mx export and could - optionally - taken from there). The other direction - create a MDRS file based on quantlib termstructure objects that can be uploaded to Murex - can also be interesting for certain applications. All that should be done on an abstract level with specific implementations for different source systems, of which one beneath Murex MDRS could also be a simple "quantlib-proprietary" one, which would allow to share reference / test market data and meta data for associated concrete termstructure objects. I am quite sure that this is both doable and useful (because I have done parts of it and use it in my daily work). However it is some work to set up the framework in a clean way and maintain it, for several MDRS versions (some details sometimes change from release to release, but the general structure seems stable). So my questions are - does that belong into the core library, like under ql / io / ... ( well, for a start under ql / experimental / io / ... ;-) ) - anyone else that would be interested in that functionality and maybe willing to contribute to such a development ? - maybe other systems that could be of interest (maybe the MarkIt CDS market data files ?) Thanks a lot Peter ------------------------------------------------------------------------------ Meet PCI DSS 3.0 Compliance Requirements with EventLog Analyzer Achieve PCI DSS 3.0 Compliant Status with Out-of-the-box PCI DSS Reports Are you Audit-Ready for PCI DSS 3.0 Compliance? Download White paper Comply to PCI DSS 3.0 Requirement 10 and 11.5 with EventLog Analyzer http://pubads.g.doubleclick.net/gampad/clk?id=154622311&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Hi Peter,
apologies for the delay. Personally, I feel that it would be useful but as a separate module. Later, Luigi On Fri, Oct 3, 2014 at 8:31 PM, Peter Caspers <[hidden email]> wrote: > Hi, > > I am wondering if we want support classes in the core library to > interface commercial systems' market data and termstructures. > Specifically I am thinking about Murex which has a standardized XML > interface to export and import virtually all kind of market data > across all market data sets in its financial database. > > The first step would be a class that represents the contents of such a > file and providing easy access to its market data points (in a more > user friendly way than a "stupid" general XML parser could do). To > keep the dependencies simple, I'd rely on RapidXML as the XML parser > for this part. > > A second layer built on that would provide functionality to create > quantlib termstructures populated with that market data, based on meta > data (instruments in a curve, their conventions etc.) provided in > additional specification files (where parts of the necessary meta data > is even available in the Mx export and could - optionally - taken from > there). The other direction - create a MDRS file based on quantlib > termstructure objects that can be uploaded to Murex - can also be > interesting for certain applications. > > All that should be done on an abstract level with specific > implementations for different source systems, of which one beneath > Murex MDRS could also be a simple "quantlib-proprietary" one, which > would allow to share reference / test market data and meta data for > associated concrete termstructure objects. > > I am quite sure that this is both doable and useful (because I have > done parts of it and use it in my daily work). However it is some work > to set up the framework in a clean way and maintain it, for several > MDRS versions (some details sometimes change from release to release, > but the general structure seems stable). > > So my questions are > > - does that belong into the core library, like under ql / io / ... ( > well, for a start under ql / experimental / io / ... ;-) ) > - anyone else that would be interested in that functionality and maybe > willing to contribute to such a development ? > - maybe other systems that could be of interest (maybe the MarkIt CDS > market data files ?) > > Thanks a lot > Peter > > ------------------------------------------------------------------------------ > Meet PCI DSS 3.0 Compliance Requirements with EventLog Analyzer > Achieve PCI DSS 3.0 Compliant Status with Out-of-the-box PCI DSS Reports > Are you Audit-Ready for PCI DSS 3.0 Compliance? Download White paper > Comply to PCI DSS 3.0 Requirement 10 and 11.5 with EventLog Analyzer > http://pubads.g.doubleclick.net/gampad/clk?id=154622311&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ Comprehensive Server Monitoring with Site24x7. Monitor 10 servers for $9/Month. Get alerted through email, SMS, voice calls or mobile push notifications. Take corrective actions from your mobile device. http://p.sf.net/sfu/Zoho _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Hi Luigi,
alright. That would mean a separate project on the level QuantLib, QuantLibAddinn QuantLib-SWIG etc. ? Or a separate repository ? Thanks Peter On 17 October 2014 12:00, Luigi Ballabio <[hidden email]> wrote: > Hi Peter, > apologies for the delay. Personally, I feel that it would be > useful but as a separate module. > > Later, > Luigi > > > On Fri, Oct 3, 2014 at 8:31 PM, Peter Caspers <[hidden email]> wrote: >> Hi, >> >> I am wondering if we want support classes in the core library to >> interface commercial systems' market data and termstructures. >> Specifically I am thinking about Murex which has a standardized XML >> interface to export and import virtually all kind of market data >> across all market data sets in its financial database. >> >> The first step would be a class that represents the contents of such a >> file and providing easy access to its market data points (in a more >> user friendly way than a "stupid" general XML parser could do). To >> keep the dependencies simple, I'd rely on RapidXML as the XML parser >> for this part. >> >> A second layer built on that would provide functionality to create >> quantlib termstructures populated with that market data, based on meta >> data (instruments in a curve, their conventions etc.) provided in >> additional specification files (where parts of the necessary meta data >> is even available in the Mx export and could - optionally - taken from >> there). The other direction - create a MDRS file based on quantlib >> termstructure objects that can be uploaded to Murex - can also be >> interesting for certain applications. >> >> All that should be done on an abstract level with specific >> implementations for different source systems, of which one beneath >> Murex MDRS could also be a simple "quantlib-proprietary" one, which >> would allow to share reference / test market data and meta data for >> associated concrete termstructure objects. >> >> I am quite sure that this is both doable and useful (because I have >> done parts of it and use it in my daily work). However it is some work >> to set up the framework in a clean way and maintain it, for several >> MDRS versions (some details sometimes change from release to release, >> but the general structure seems stable). >> >> So my questions are >> >> - does that belong into the core library, like under ql / io / ... ( >> well, for a start under ql / experimental / io / ... ;-) ) >> - anyone else that would be interested in that functionality and maybe >> willing to contribute to such a development ? >> - maybe other systems that could be of interest (maybe the MarkIt CDS >> market data files ?) >> >> Thanks a lot >> Peter >> >> ------------------------------------------------------------------------------ >> Meet PCI DSS 3.0 Compliance Requirements with EventLog Analyzer >> Achieve PCI DSS 3.0 Compliant Status with Out-of-the-box PCI DSS Reports >> Are you Audit-Ready for PCI DSS 3.0 Compliance? Download White paper >> Comply to PCI DSS 3.0 Requirement 10 and 11.5 with EventLog Analyzer >> http://pubads.g.doubleclick.net/gampad/clk?id=154622311&iu=/4140/ostg.clktrk >> _______________________________________________ >> QuantLib-dev mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > -- > <https://implementingquantlib.blogspot.com> > <https://twitter.com/lballabio> ------------------------------------------------------------------------------ Comprehensive Server Monitoring with Site24x7. Monitor 10 servers for $9/Month. Get alerted through email, SMS, voice calls or mobile push notifications. Take corrective actions from your mobile device. http://p.sf.net/sfu/Zoho _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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I vote for separate project in the same repository, as for ObjectHandler among the others On Fri, Oct 17, 2014 at 1:02 PM, Peter Caspers <[hidden email]> wrote: Hi Luigi, ------------------------------------------------------------------------------ Comprehensive Server Monitoring with Site24x7. Monitor 10 servers for $9/Month. Get alerted through email, SMS, voice calls or mobile push notifications. Take corrective actions from your mobile device. http://p.sf.net/sfu/Zoho _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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I'm agnostic. Lately we have been moving (in practice, if not in
explicit purpose) towards separating the modules: I've been making releases from my clone of the repository and Eric has been making releases from his. I'm not against using the same repo, but it doesn't give anything more than what you get from different repos (other than the convenience of cloning just once, and that can be seen as the *in*convenience of having to clone everything). So I'm bailing out. No vote either way :) On Fri, Oct 17, 2014 at 3:03 PM, Ferdinando M. Ametrano <[hidden email]> wrote: > I vote for separate project in the same repository, as for ObjectHandler > among the others > > On Fri, Oct 17, 2014 at 1:02 PM, Peter Caspers <[hidden email]> > wrote: >> >> Hi Luigi, >> >> alright. That would mean a separate project on the level QuantLib, >> QuantLibAddinn QuantLib-SWIG etc. ? Or a separate repository ? >> >> Thanks >> Peter >> >> On 17 October 2014 12:00, Luigi Ballabio <[hidden email]> wrote: >> > Hi Peter, >> > apologies for the delay. Personally, I feel that it would be >> > useful but as a separate module. >> > >> > Later, >> > Luigi >> > >> > >> > On Fri, Oct 3, 2014 at 8:31 PM, Peter Caspers <[hidden email]> >> > wrote: >> >> Hi, >> >> >> >> I am wondering if we want support classes in the core library to >> >> interface commercial systems' market data and termstructures. >> >> Specifically I am thinking about Murex which has a standardized XML >> >> interface to export and import virtually all kind of market data >> >> across all market data sets in its financial database. >> >> >> >> The first step would be a class that represents the contents of such a >> >> file and providing easy access to its market data points (in a more >> >> user friendly way than a "stupid" general XML parser could do). To >> >> keep the dependencies simple, I'd rely on RapidXML as the XML parser >> >> for this part. >> >> >> >> A second layer built on that would provide functionality to create >> >> quantlib termstructures populated with that market data, based on meta >> >> data (instruments in a curve, their conventions etc.) provided in >> >> additional specification files (where parts of the necessary meta data >> >> is even available in the Mx export and could - optionally - taken from >> >> there). The other direction - create a MDRS file based on quantlib >> >> termstructure objects that can be uploaded to Murex - can also be >> >> interesting for certain applications. >> >> >> >> All that should be done on an abstract level with specific >> >> implementations for different source systems, of which one beneath >> >> Murex MDRS could also be a simple "quantlib-proprietary" one, which >> >> would allow to share reference / test market data and meta data for >> >> associated concrete termstructure objects. >> >> >> >> I am quite sure that this is both doable and useful (because I have >> >> done parts of it and use it in my daily work). However it is some work >> >> to set up the framework in a clean way and maintain it, for several >> >> MDRS versions (some details sometimes change from release to release, >> >> but the general structure seems stable). >> >> >> >> So my questions are >> >> >> >> - does that belong into the core library, like under ql / io / ... ( >> >> well, for a start under ql / experimental / io / ... ;-) ) >> >> - anyone else that would be interested in that functionality and maybe >> >> willing to contribute to such a development ? >> >> - maybe other systems that could be of interest (maybe the MarkIt CDS >> >> market data files ?) >> >> >> >> Thanks a lot >> >> Peter >> >> >> >> >> >> ------------------------------------------------------------------------------ >> >> Meet PCI DSS 3.0 Compliance Requirements with EventLog Analyzer >> >> Achieve PCI DSS 3.0 Compliant Status with Out-of-the-box PCI DSS >> >> Reports >> >> Are you Audit-Ready for PCI DSS 3.0 Compliance? Download White paper >> >> Comply to PCI DSS 3.0 Requirement 10 and 11.5 with EventLog Analyzer >> >> >> >> http://pubads.g.doubleclick.net/gampad/clk?id=154622311&iu=/4140/ostg.clktrk >> >> _______________________________________________ >> >> QuantLib-dev mailing list >> >> [hidden email] >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> > >> > >> > >> > -- >> > <https://implementingquantlib.blogspot.com> >> > <https://twitter.com/lballabio> >> >> >> ------------------------------------------------------------------------------ >> Comprehensive Server Monitoring with Site24x7. >> Monitor 10 servers for $9/Month. >> Get alerted through email, SMS, voice calls or mobile push notifications. >> Take corrective actions from your mobile device. >> http://p.sf.net/sfu/Zoho >> _______________________________________________ >> QuantLib-dev mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ Comprehensive Server Monitoring with Site24x7. Monitor 10 servers for $9/Month. Get alerted through email, SMS, voice calls or mobile push notifications. Take corrective actions from your mobile device. http://p.sf.net/sfu/Zoho _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Forgot this thread, seems useful a lot of work and a way to *leverage* (uh, sorry) the library.
Is it possible to have QL talk FPML only and have translation modules in between? I am not sure they cover equivalent problems/data items; Like, an instrument position, and engine, or a data set. Or it would be dealing only with data? ----- Original Message ----- > I'm agnostic. Lately we have been moving (in practice, if not in > explicit purpose) towards separating the modules: I've been making > releases from my clone of the repository and Eric has been making > releases from his. I'm not against using the same repo, but it > doesn't > give anything more than what you get from different repos (other than > the convenience of cloning just once, and that can be seen as the > *in*convenience of having to clone everything). > > So I'm bailing out. No vote either way :) > > > On Fri, Oct 17, 2014 at 3:03 PM, Ferdinando M. Ametrano > <[hidden email]> wrote: > > I vote for separate project in the same repository, as for > > ObjectHandler > > among the others > > > > On Fri, Oct 17, 2014 at 1:02 PM, Peter Caspers > > <[hidden email]> > > wrote: > >> > >> Hi Luigi, > >> > >> alright. That would mean a separate project on the level QuantLib, > >> QuantLibAddinn QuantLib-SWIG etc. ? Or a separate repository ? > >> > >> Thanks > >> Peter > >> > >> On 17 October 2014 12:00, Luigi Ballabio > >> <[hidden email]> wrote: > >> > Hi Peter, > >> > apologies for the delay. Personally, I feel that it would be > >> > useful but as a separate module. > >> > > >> > Later, > >> > Luigi > >> > > >> > > >> > On Fri, Oct 3, 2014 at 8:31 PM, Peter Caspers > >> > <[hidden email]> > >> > wrote: > >> >> Hi, > >> >> > >> >> I am wondering if we want support classes in the core library > >> >> to > >> >> interface commercial systems' market data and termstructures. > >> >> Specifically I am thinking about Murex which has a standardized > >> >> XML > >> >> interface to export and import virtually all kind of market > >> >> data > >> >> across all market data sets in its financial database. > >> >> > >> >> The first step would be a class that represents the contents of > >> >> such a > >> >> file and providing easy access to its market data points (in a > >> >> more > >> >> user friendly way than a "stupid" general XML parser could do). > >> >> To > >> >> keep the dependencies simple, I'd rely on RapidXML as the XML > >> >> parser > >> >> for this part. > >> >> > >> >> A second layer built on that would provide functionality to > >> >> create > >> >> quantlib termstructures populated with that market data, based > >> >> on meta > >> >> data (instruments in a curve, their conventions etc.) provided > >> >> in > >> >> additional specification files (where parts of the necessary > >> >> meta data > >> >> is even available in the Mx export and could - optionally - > >> >> taken from > >> >> there). The other direction - create a MDRS file based on > >> >> quantlib > >> >> termstructure objects that can be uploaded to Murex - can also > >> >> be > >> >> interesting for certain applications. > >> >> > >> >> All that should be done on an abstract level with specific > >> >> implementations for different source systems, of which one > >> >> beneath > >> >> Murex MDRS could also be a simple "quantlib-proprietary" one, > >> >> which > >> >> would allow to share reference / test market data and meta data > >> >> for > >> >> associated concrete termstructure objects. > >> >> > >> >> I am quite sure that this is both doable and useful (because I > >> >> have > >> >> done parts of it and use it in my daily work). However it is > >> >> some work > >> >> to set up the framework in a clean way and maintain it, for > >> >> several > >> >> MDRS versions (some details sometimes change from release to > >> >> release, > >> >> but the general structure seems stable). > >> >> > >> >> So my questions are > >> >> > >> >> - does that belong into the core library, like under ql / io / > >> >> ... ( > >> >> well, for a start under ql / experimental / io / ... ;-) ) > >> >> - anyone else that would be interested in that functionality > >> >> and maybe > >> >> willing to contribute to such a development ? > >> >> - maybe other systems that could be of interest (maybe the > >> >> MarkIt CDS > >> >> market data files ?) > >> >> > >> >> Thanks a lot > >> >> Peter > >> >> > >> >> > >> >> ------------------------------------------------------------------------------ > >> >> Meet PCI DSS 3.0 Compliance Requirements with EventLog Analyzer > >> >> Achieve PCI DSS 3.0 Compliant Status with Out-of-the-box PCI > >> >> DSS > >> >> Reports > >> >> Are you Audit-Ready for PCI DSS 3.0 Compliance? Download White > >> >> paper > >> >> Comply to PCI DSS 3.0 Requirement 10 and 11.5 with EventLog > >> >> Analyzer > >> >> > >> >> http://pubads.g.doubleclick.net/gampad/clk?id=154622311&iu=/4140/ostg.clktrk > >> >> _______________________________________________ > >> >> QuantLib-dev mailing list > >> >> [hidden email] > >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > >> > > >> > > >> > > >> > -- > >> > <https://implementingquantlib.blogspot.com> > >> > <https://twitter.com/lballabio> > >> > >> > >> ------------------------------------------------------------------------------ > >> Comprehensive Server Monitoring with Site24x7. > >> Monitor 10 servers for $9/Month. > >> Get alerted through email, SMS, voice calls or mobile push > >> notifications. > >> Take corrective actions from your mobile device. > >> http://p.sf.net/sfu/Zoho > >> _______________________________________________ > >> QuantLib-dev mailing list > >> [hidden email] > >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > > > > > -- > <https://implementingquantlib.blogspot.com> > <https://twitter.com/lballabio> > > ------------------------------------------------------------------------------ > Comprehensive Server Monitoring with Site24x7. > Monitor 10 servers for $9/Month. > Get alerted through email, SMS, voice calls or mobile push > notifications. > Take corrective actions from your mobile device. > http://p.sf.net/sfu/Zoho > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > ------------------------------------------------------------------------------ Comprehensive Server Monitoring with Site24x7. Monitor 10 servers for $9/Month. Get alerted through email, SMS, voice calls or mobile push notifications. Take corrective actions from your mobile device. http://p.sf.net/sfu/Zoho _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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For a start I "only" thought of market data plus metadata to generate
corresponding termstructures. I guess I should first ask Murex to confirm that it is ok to publish a parser for their xml under the ql license and maybe put sample files in that format in the repository. As soon as I have their permission I will send an initial commit (i.e. a PR to Luigi) as a basis for further discussions. On 17 October 2014 18:25, <[hidden email]> wrote: > Forgot this thread, seems useful a lot of work and a way to *leverage* (uh, sorry) the library. > Is it possible to have QL talk FPML only and have translation modules in between? I am not sure they cover equivalent problems/data items; Like, an instrument position, and engine, or a data set. Or it would be dealing only with data? > > ----- Original Message ----- >> I'm agnostic. Lately we have been moving (in practice, if not in >> explicit purpose) towards separating the modules: I've been making >> releases from my clone of the repository and Eric has been making >> releases from his. I'm not against using the same repo, but it >> doesn't >> give anything more than what you get from different repos (other than >> the convenience of cloning just once, and that can be seen as the >> *in*convenience of having to clone everything). >> >> So I'm bailing out. No vote either way :) >> >> >> On Fri, Oct 17, 2014 at 3:03 PM, Ferdinando M. Ametrano >> <[hidden email]> wrote: >> > I vote for separate project in the same repository, as for >> > ObjectHandler >> > among the others >> > >> > On Fri, Oct 17, 2014 at 1:02 PM, Peter Caspers >> > <[hidden email]> >> > wrote: >> >> >> >> Hi Luigi, >> >> >> >> alright. That would mean a separate project on the level QuantLib, >> >> QuantLibAddinn QuantLib-SWIG etc. ? Or a separate repository ? >> >> >> >> Thanks >> >> Peter >> >> >> >> On 17 October 2014 12:00, Luigi Ballabio >> >> <[hidden email]> wrote: >> >> > Hi Peter, >> >> > apologies for the delay. Personally, I feel that it would be >> >> > useful but as a separate module. >> >> > >> >> > Later, >> >> > Luigi >> >> > >> >> > >> >> > On Fri, Oct 3, 2014 at 8:31 PM, Peter Caspers >> >> > <[hidden email]> >> >> > wrote: >> >> >> Hi, >> >> >> >> >> >> I am wondering if we want support classes in the core library >> >> >> to >> >> >> interface commercial systems' market data and termstructures. >> >> >> Specifically I am thinking about Murex which has a standardized >> >> >> XML >> >> >> interface to export and import virtually all kind of market >> >> >> data >> >> >> across all market data sets in its financial database. >> >> >> >> >> >> The first step would be a class that represents the contents of >> >> >> such a >> >> >> file and providing easy access to its market data points (in a >> >> >> more >> >> >> user friendly way than a "stupid" general XML parser could do). >> >> >> To >> >> >> keep the dependencies simple, I'd rely on RapidXML as the XML >> >> >> parser >> >> >> for this part. >> >> >> >> >> >> A second layer built on that would provide functionality to >> >> >> create >> >> >> quantlib termstructures populated with that market data, based >> >> >> on meta >> >> >> data (instruments in a curve, their conventions etc.) provided >> >> >> in >> >> >> additional specification files (where parts of the necessary >> >> >> meta data >> >> >> is even available in the Mx export and could - optionally - >> >> >> taken from >> >> >> there). The other direction - create a MDRS file based on >> >> >> quantlib >> >> >> termstructure objects that can be uploaded to Murex - can also >> >> >> be >> >> >> interesting for certain applications. >> >> >> >> >> >> All that should be done on an abstract level with specific >> >> >> implementations for different source systems, of which one >> >> >> beneath >> >> >> Murex MDRS could also be a simple "quantlib-proprietary" one, >> >> >> which >> >> >> would allow to share reference / test market data and meta data >> >> >> for >> >> >> associated concrete termstructure objects. >> >> >> >> >> >> I am quite sure that this is both doable and useful (because I >> >> >> have >> >> >> done parts of it and use it in my daily work). However it is >> >> >> some work >> >> >> to set up the framework in a clean way and maintain it, for >> >> >> several >> >> >> MDRS versions (some details sometimes change from release to >> >> >> release, >> >> >> but the general structure seems stable). >> >> >> >> >> >> So my questions are >> >> >> >> >> >> - does that belong into the core library, like under ql / io / >> >> >> ... ( >> >> >> well, for a start under ql / experimental / io / ... ;-) ) >> >> >> - anyone else that would be interested in that functionality >> >> >> and maybe >> >> >> willing to contribute to such a development ? >> >> >> - maybe other systems that could be of interest (maybe the >> >> >> MarkIt CDS >> >> >> market data files ?) >> >> >> >> >> >> Thanks a lot >> >> >> Peter >> >> >> >> >> >> >> >> >> ------------------------------------------------------------------------------ >> >> >> Meet PCI DSS 3.0 Compliance Requirements with EventLog Analyzer >> >> >> Achieve PCI DSS 3.0 Compliant Status with Out-of-the-box PCI >> >> >> DSS >> >> >> Reports >> >> >> Are you Audit-Ready for PCI DSS 3.0 Compliance? Download White >> >> >> paper >> >> >> Comply to PCI DSS 3.0 Requirement 10 and 11.5 with EventLog >> >> >> Analyzer >> >> >> >> >> >> http://pubads.g.doubleclick.net/gampad/clk?id=154622311&iu=/4140/ostg.clktrk >> >> >> _______________________________________________ >> >> >> QuantLib-dev mailing list >> >> >> [hidden email] >> >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> >> > >> >> > >> >> > >> >> > -- >> >> > <https://implementingquantlib.blogspot.com> >> >> > <https://twitter.com/lballabio> >> >> >> >> >> >> ------------------------------------------------------------------------------ >> >> Comprehensive Server Monitoring with Site24x7. >> >> Monitor 10 servers for $9/Month. >> >> Get alerted through email, SMS, voice calls or mobile push >> >> notifications. >> >> Take corrective actions from your mobile device. >> >> http://p.sf.net/sfu/Zoho >> >> _______________________________________________ >> >> QuantLib-dev mailing list >> >> [hidden email] >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> > >> > >> >> >> >> -- >> <https://implementingquantlib.blogspot.com> >> <https://twitter.com/lballabio> >> >> ------------------------------------------------------------------------------ >> Comprehensive Server Monitoring with Site24x7. >> Monitor 10 servers for $9/Month. >> Get alerted through email, SMS, voice calls or mobile push >> notifications. >> Take corrective actions from your mobile device. >> http://p.sf.net/sfu/Zoho >> _______________________________________________ >> QuantLib-dev mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> > > ------------------------------------------------------------------------------ > Comprehensive Server Monitoring with Site24x7. > Monitor 10 servers for $9/Month. > Get alerted through email, SMS, voice calls or mobile push notifications. > Take corrective actions from your mobile device. > http://p.sf.net/sfu/Zoho > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------------------------------------------------------ Comprehensive Server Monitoring with Site24x7. Monitor 10 servers for $9/Month. Get alerted through email, SMS, voice calls or mobile push notifications. Take corrective actions from your mobile device. http://p.sf.net/sfu/Zoho _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Hi,
since Murex is not too enthusiastic about this idea (for some understandable reasons, I think) I guess it is not advisable to start this as a public project. We could still do it with a ql-proprietary format and leave MX specific extensions to private projects, but I don't find that very attractive to be honest. Anyway. Regards Peter On 17 October 2014 21:24, Peter Caspers <[hidden email]> wrote: > For a start I "only" thought of market data plus metadata to generate > corresponding termstructures. I guess I should first ask Murex to > confirm that it is ok to publish a parser for their xml under the ql > license and maybe put sample files in that format in the repository. > As soon as I have their permission I will send an initial commit (i.e. > a PR to Luigi) as a basis for further discussions. > > > On 17 October 2014 18:25, <[hidden email]> wrote: >> Forgot this thread, seems useful a lot of work and a way to *leverage* (uh, sorry) the library. >> Is it possible to have QL talk FPML only and have translation modules in between? I am not sure they cover equivalent problems/data items; Like, an instrument position, and engine, or a data set. Or it would be dealing only with data? >> >> ----- Original Message ----- >>> I'm agnostic. Lately we have been moving (in practice, if not in >>> explicit purpose) towards separating the modules: I've been making >>> releases from my clone of the repository and Eric has been making >>> releases from his. I'm not against using the same repo, but it >>> doesn't >>> give anything more than what you get from different repos (other than >>> the convenience of cloning just once, and that can be seen as the >>> *in*convenience of having to clone everything). >>> >>> So I'm bailing out. No vote either way :) >>> >>> >>> On Fri, Oct 17, 2014 at 3:03 PM, Ferdinando M. Ametrano >>> <[hidden email]> wrote: >>> > I vote for separate project in the same repository, as for >>> > ObjectHandler >>> > among the others >>> > >>> > On Fri, Oct 17, 2014 at 1:02 PM, Peter Caspers >>> > <[hidden email]> >>> > wrote: >>> >> >>> >> Hi Luigi, >>> >> >>> >> alright. That would mean a separate project on the level QuantLib, >>> >> QuantLibAddinn QuantLib-SWIG etc. ? Or a separate repository ? >>> >> >>> >> Thanks >>> >> Peter >>> >> >>> >> On 17 October 2014 12:00, Luigi Ballabio >>> >> <[hidden email]> wrote: >>> >> > Hi Peter, >>> >> > apologies for the delay. Personally, I feel that it would be >>> >> > useful but as a separate module. >>> >> > >>> >> > Later, >>> >> > Luigi >>> >> > >>> >> > >>> >> > On Fri, Oct 3, 2014 at 8:31 PM, Peter Caspers >>> >> > <[hidden email]> >>> >> > wrote: >>> >> >> Hi, >>> >> >> >>> >> >> I am wondering if we want support classes in the core library >>> >> >> to >>> >> >> interface commercial systems' market data and termstructures. >>> >> >> Specifically I am thinking about Murex which has a standardized >>> >> >> XML >>> >> >> interface to export and import virtually all kind of market >>> >> >> data >>> >> >> across all market data sets in its financial database. >>> >> >> >>> >> >> The first step would be a class that represents the contents of >>> >> >> such a >>> >> >> file and providing easy access to its market data points (in a >>> >> >> more >>> >> >> user friendly way than a "stupid" general XML parser could do). >>> >> >> To >>> >> >> keep the dependencies simple, I'd rely on RapidXML as the XML >>> >> >> parser >>> >> >> for this part. >>> >> >> >>> >> >> A second layer built on that would provide functionality to >>> >> >> create >>> >> >> quantlib termstructures populated with that market data, based >>> >> >> on meta >>> >> >> data (instruments in a curve, their conventions etc.) provided >>> >> >> in >>> >> >> additional specification files (where parts of the necessary >>> >> >> meta data >>> >> >> is even available in the Mx export and could - optionally - >>> >> >> taken from >>> >> >> there). The other direction - create a MDRS file based on >>> >> >> quantlib >>> >> >> termstructure objects that can be uploaded to Murex - can also >>> >> >> be >>> >> >> interesting for certain applications. >>> >> >> >>> >> >> All that should be done on an abstract level with specific >>> >> >> implementations for different source systems, of which one >>> >> >> beneath >>> >> >> Murex MDRS could also be a simple "quantlib-proprietary" one, >>> >> >> which >>> >> >> would allow to share reference / test market data and meta data >>> >> >> for >>> >> >> associated concrete termstructure objects. >>> >> >> >>> >> >> I am quite sure that this is both doable and useful (because I >>> >> >> have >>> >> >> done parts of it and use it in my daily work). However it is >>> >> >> some work >>> >> >> to set up the framework in a clean way and maintain it, for >>> >> >> several >>> >> >> MDRS versions (some details sometimes change from release to >>> >> >> release, >>> >> >> but the general structure seems stable). >>> >> >> >>> >> >> So my questions are >>> >> >> >>> >> >> - does that belong into the core library, like under ql / io / >>> >> >> ... ( >>> >> >> well, for a start under ql / experimental / io / ... ;-) ) >>> >> >> - anyone else that would be interested in that functionality >>> >> >> and maybe >>> >> >> willing to contribute to such a development ? >>> >> >> - maybe other systems that could be of interest (maybe the >>> >> >> MarkIt CDS >>> >> >> market data files ?) >>> >> >> >>> >> >> Thanks a lot >>> >> >> Peter >>> >> >> >>> >> >> >>> >> >> ------------------------------------------------------------------------------ >>> >> >> Meet PCI DSS 3.0 Compliance Requirements with EventLog Analyzer >>> >> >> Achieve PCI DSS 3.0 Compliant Status with Out-of-the-box PCI >>> >> >> DSS >>> >> >> Reports >>> >> >> Are you Audit-Ready for PCI DSS 3.0 Compliance? Download White >>> >> >> paper >>> >> >> Comply to PCI DSS 3.0 Requirement 10 and 11.5 with EventLog >>> >> >> Analyzer >>> >> >> >>> >> >> http://pubads.g.doubleclick.net/gampad/clk?id=154622311&iu=/4140/ostg.clktrk >>> >> >> _______________________________________________ >>> >> >> QuantLib-dev mailing list >>> >> >> [hidden email] >>> >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >>> >> > >>> >> > >>> >> > >>> >> > -- >>> >> > <https://implementingquantlib.blogspot.com> >>> >> > <https://twitter.com/lballabio> >>> >> >>> >> >>> >> ------------------------------------------------------------------------------ >>> >> Comprehensive Server Monitoring with Site24x7. >>> >> Monitor 10 servers for $9/Month. >>> >> Get alerted through email, SMS, voice calls or mobile push >>> >> notifications. >>> >> Take corrective actions from your mobile device. >>> >> http://p.sf.net/sfu/Zoho >>> >> _______________________________________________ >>> >> QuantLib-dev mailing list >>> >> [hidden email] >>> >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >>> > >>> > >>> >>> >>> >>> -- >>> <https://implementingquantlib.blogspot.com> >>> <https://twitter.com/lballabio> >>> >>> ------------------------------------------------------------------------------ >>> Comprehensive Server Monitoring with Site24x7. >>> Monitor 10 servers for $9/Month. >>> Get alerted through email, SMS, voice calls or mobile push >>> notifications. >>> Take corrective actions from your mobile device. >>> http://p.sf.net/sfu/Zoho >>> _______________________________________________ >>> QuantLib-dev mailing list >>> [hidden email] >>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >>> >> >> ------------------------------------------------------------------------------ >> Comprehensive Server Monitoring with Site24x7. >> Monitor 10 servers for $9/Month. >> Get alerted through email, SMS, voice calls or mobile push notifications. >> Take corrective actions from your mobile device. >> http://p.sf.net/sfu/Zoho >> _______________________________________________ >> QuantLib-dev mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------------------------------------------------------ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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tackle Fplm and leave mxml as student exercise. Is mxml schema copyrighted? On Oct 24, 2014 8:23 PM, "Peter Caspers" <[hidden email]> wrote:
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Ok sorry you wanted to cover market data... On Oct 24, 2014 8:42 PM, "Ferdinando M. Ametrano" <[hidden email]> wrote:
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