Re: FpML integration - some thoughts

Posted by Toyin Akin-2 on Sep 03, 2002; 12:54am
URL: http://quantlib.414.s1.nabble.com/FpML-integration-some-thoughts-tp10145p10146.html

I agree,

The FpML engine should only really know about holding deal data (with enums
corresponding to various market conventions) and knowing how to
serialise/deserialise this to XML.

In fact I would like to have 4 schemas defined.

1) Product based - FpML
2) Results based - QML
3) Market information MML (curves of various kinds, yield curves, vols
curves, matrices, cubes, correlations etc...)
4) Static data - SML

Thus a user will be able to not only store a deal, but also be able to store
the market parameter for the pricing of that deal or all deals.

Regarding SML (for the lack of a better word), it does not make sense to
hard code all the business rules for a particular currency in C++/C# code.
We should really store this within a file. A user should be able to simply
pick "euribor" to price a leg and not have to figure out all the various
conventions that apply, especially what holiday centers are specific to a
particular reference rate both for fixing and payment dates. There are
hundreds of reference rates floating around and most Traders/Marketers
certainly know the ISDA definition and would like to simply pick from a list
and not construct one from scratch.

Also adding a new reference rate definition should not involve recompling a
trading system.

Also, a lot of the deals within QuantLib cannot be represented within FpML.
(Equities are weakly represented, and I'm not too impressed with what's
there already).

I agree with James, we need to at least price a regular swap, with all the
various market conventions.
In the case of structured deals (Xccy Swap, Basis swaps, capped floaters
etc...) you can probably use the productstrategy
object and just store multiple trades within this object, each trade
represents a single swapstream object. This way we know it's a structured
deal and the pricing system can simply iterate across legs and price.

Regards,
Toy.