Hi.
Question: is QuantLib a good starting point to build and maintain
state of the art real time rate curve calibration solution ready for
integration in a trading environment?
Context: the large fund for which I work asked me to investigate
this. Significant requirements:
- Use as a server using real time market sources to calibrate
and feed curves to a (third party) trading platform.
- Use also in an interactive environment (Excel), allowing a
limited set of configuration updates.
- Multi-currency, multi tenor curve, state of the art
calibration. High level of precision. (Dependencies between
curves, asset swaps as calibration instrument).
- Open and flexible for rapid integration of new
pricing/calibration techniques.
- To be build and maintained as a new effort. Fund has few
previous libraries/infrastructure to start from. Experience with
QL as validation tool.
Is QuantLib a good starting point for such a solution?
- Main concern: would this be a first implementation of this
kind? Has this been done previously? Can anyone provide details
of closely related efforts?
- What evidence can be provided to prove that QL is thoroughly
validated?
- Is QL sufficiently performant? The setup will require parallel
calibration of many dependent curves . [Probably heavily
dependent on interpolation methods, caching techniques and
clever choice of the solving/optimization algorithm. Any comment
on performance considerations welcome.]
- How much extra effort should we expect in order to
adapt/extend QL for such a solution?
- Are there firms which can offer support to build/maintain a QL
solution? [Benelux]
- How close do the calibration solutions which are offered in
the Examples of the QL distribution come to a real-time
solution?
- What would you use as an alternative starting point of such a
solution?
Thanks for all replies on this forum. [Sensitive information
may be communicated privately.]
Johan Van Biesen. johan (at domain) vanbiesen.net
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